Results 11 to 20 of about 2,868 (257)
Cross-hedging with Currency Options and Futures [PDF]
SSRN Electronic Journal, 2003 This paper develops an expected utility model of a multinational firm facing exchange rate risk exposure to a foreign currency cash flow. Currency derivative markets do not exist between the domestic and foreign currencies. There are, however, currency futures and options markets between the domestic currency and a third currency to which the firm has ...
Wong, KP, Chang, EC
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Hedging with futures contracts in the Brazilian soybean complex: BM&F vs. CBOT
Revista de Economia e Sociologia Rural, 2003 This article analyzes the effectiveness of hedging Brazilian soy oil, soy meal, and soybeans in the Chicago Board of Trade (CBOT) and in the Brazilian Commodities and Futures Exchange (BM&F) to reduce the risk of financial loss due to commodity price ...
Silva Andréia Regina O. da +2 more
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Cross hedging with stock index futures [PDF]
The Quarterly Review of Economics and Finance, 2021 Abstract This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia. Our daily dataset spans from August 2002 through November 2019. We apply the OLS, VECM and Maximal Overlap Discrete Wavelet Transform (MODWT)
Ahmad Danial Zainudin, Azhar Mohamad
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Comparing Hedging Effectiveness: An Application of the Encompassing Principle
Journal of Agricultural and Resource Economics, 2004 An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to ...
Dwight R. Sanders, Mark R. Manfredo
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Developing and Pricing Precipitation Insurance
Journal of Agricultural and Resource Economics, 2001 Production agriculture and agribusiness are exposed to many weather-related risks. Recent years have seen the emergence of an increased interest in weather-based derivatives as mechanisms for sharing risks due to weather phenomena.
Steven W. Martin +2 more
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A Bayesian Approach to Optimal Cross-Hedging of Cottonseed Products Using Soybean Complex Futures
Journal of Agricultural and Resource Economics, 2004 Cottonseed crushers face substantial risk in terms of input and output price variability and they are limited in their planning by the lack of a viable futures contract for cottonseed or cottonseed products.
Shaikh Mahfuzur Rahman +2 more
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Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach
SAGE Open, 2023 We examine the hedging/safe-haven ability of gold, the US dollar, bonds, crude oil, and Bitcoin against stocks using the unconditional quantile regression (UQR).
Meng-Shiuh Chang +2 more
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Simple and Multiple Cross-Hedging of Rice Bran [PDF]
Journal of Agricultural and Applied Economics, 1986 AbstractFeasibility of forward pricing sales of rice bran via cross-hedging was investigated. Corn, oats, wheat, and soybean meal futures were considered as simple and multiple cross-hedging media. Simulation results indicated that simple cross-hedging using corn futures would be most effective in reducing price risks.
Elam, Emmett W. +2 more
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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.
Adam-Müller, Axel, Nolte, Ingmar
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Inventory and Transformation Hedging Effectiveness in Corn Crushing
Journal of Agricultural and Resource Economics, 2009 Recently developed ethanol futures contracts now allow direct-hedging by ethanol producers. This study examines the effectiveness of one-through eight-week hedges between 2005 and 2008.
Roger A. Dahlgran
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