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Cross hedging under multiplicative basis risk [PDF]
SSRN Electronic Journal, 2011 Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis risk where price risk and basis risk are combined in a multiplicative way. Under this specification, positive prudence is a necessary and sufficient condition for underhedging in an unbiased market.
Axel F. A. Adam-Muller, Ingmar Nolte
semanticscholar +4 more sources
Simple and Multiple Cross-hedging of Millfeeds [PDF]
Journal of Futures Markets, 1983 Marketing,
Stephen E. Miller, Miller, Stephen E.
core +6 more sources
Cross-Hedging of Correlated Exchange Rates [PDF]
SSRN Electronic Journal, 2011 This paper examines the behavior of a competitive exporting firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. The firm has to cross-hedge its exchange rate risk exposure because there is only a forward market between the domestic currency and one foreign country's currency.
Broll, Udo, Wong, Kit Pong
core +7 more sources
Cross Hedging with Single Stock Futures [PDF]
SSRN Electronic Journal, 2006 This study evaluates the efficiency of cross hedging with single stock futures (SSF) contracts. We propose a new technique for hedging exposure to an individual stock that does not have options or exchange-traded SSF contracts written on it. Our method selects as a hedging instrument a portfolio of SSF contracts which are selected based on how closely ...
Brooks, Chris +2 more
openaire +3 more sources
, 2017 The paper examines the return and volatility spillovers between crude oil, gold and equities, and investigates the usefulness of the two commodities in hedging equity portfolios.
Aktham Maghyereh +2 more
openalex +3 more sources
Cross Hedging Jet Fuel on the Singapore Spot Market [PDF]
The International Journal of Banking and Finance, 2003 In this paper we test for the most effective cross hedging instrument for the Singapore spot market in jet fuel over the period February 4, 1997 to August 21, 2001. Our results are mixed.
Ephraim Clark, Mark Tan, Radu Tunru
doaj +3 more sources
A Cross-Cultural Study on Hedging Devices in Kurdish Conversation
Acta Linguistica Asiatica, 2012 Hedges are words whose job is to make things fuzzier or less fuzzy. Truth and falsity are a matter of degree, and hedges make natural language sentences more/less true or more/less false.
Biook BEHNAM, Salam KHALILIAQDAM
doaj +3 more sources
Cross hedging of foreign exchange risk
, 2000 published_or_final_version ; Economics and Finance ; Master ; Master of ...
Chung-kum Wan
openalex +3 more sources
Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
Journal of Agricultural and Resource Economics, 2019 We compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast ...
Tatiana Drugova +3 more
doaj +2 more sources
Futures Cross-Hedging with a Stationary Basis
Journal of Financial and Quantitative Analysis, 2012 AbstractWhen managing risk, frequently only imperfect hedging instruments are at hand. We show how to optimally cross-hedge risk when the spread between the hedging instrument and the risk is stationary. For linear risk positions we derive explicit formulas for the hedge error, and for nonlinear positions we show how to obtain numerically efficient ...
S. Ankirchner +3 more
semanticscholar +3 more sources