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HEDGING EFFECTIVENESS OF CROSS-LISTED NIFTY INDEX FUTURES
Global Economy Journal, 2019This paper investigates the hedging effectiveness of cross-listed Nifty Index futures and compares the performance of constant and dynamic optimal hedging strategies. We use daily data of Nifty index traded on the National Stock Exchange (NSE), India and
K. K. Kumar, S. Bose
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Cross‐Hedging of Exchange‐Rate Risk
Review of International Economics, 1996For currencies with highly developed forward markets a well‐known separation theorem holds which implies that international firms fully hedge the exchange rate risk if the forward markets are unbiased. In this paper we present a model of a risk‐averse firm when perfect hedging instruments are not available. Instead the firm can cross‐hedge the exchange‐
Udo Broll, Bernhard Eckwert
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Hackers Hedging Bets: A Cross-Community Analysis of Three Online Hacking Forums
International Conference on Advances in Social Networks Analysis and Mining, 2018Online hacking forums have been used as communities where users, possibly cybercriminals, can learn and exchange knowledge, and purchase the necessary tools and information to commit various offences such as hacking, credit card/identity fraud, money ...
Andrew J. Park +3 more
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Feed price risk management for sheep production in Spain: a composite future cross-hedging strategy
Risk Management, 2022Ismael Pérez-Franco +3 more
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Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?
Asia-Pacific Financial Markets, 2022Babu Jose, Nithin Jose
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Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk
SSRN Electronic Journal, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ankirchner, Stefan +2 more
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Dynamic Cross Hedging with Mortgage-Backed Securities
The Journal of Fixed Income, 1998Hedging the risk of mortgage-backed securities (MBS) has long been a concern of the many institutional owners of these bonds. Recent financial losses have hastened the need to understand how best to deal with the indeterminate timing of cash flows, notably the prepayment option that allows a home buyer to prepay a mortgage at any time.
Gregory Koutmos +2 more
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Multiple currencies and cross hedging [PDF]
, 1995 The paper derives optimal cross hedging and production rules for an exporting firm which faces multiple exchange rate risks. We study the impact of currency cross hedging upon the firm's export production for two countries. We demonstrate that when the forward market for cross hedging is unbiased there is a full hedge.
Broll, Udo, Zilcha, Itzhak
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Cross-Hedging of Inflation Derivatives on Commodities
The Journal of Alternative Investments, 20151. Nicolas Fulli-Lemaire 1. Nicolas Fulli-Lemaire is a research analyst at Amundi Asset Management and at the University of Paris II in Paris, France. (nicolas.fulli-lemaire{at}hotmail.com) 2. Ernesto Palidda 1. Ernesto Palidda is a VP at an Investment Bank in London. (ernesto.palidda{
Fulli-Lemaire, Nicolas, Palidda, Ernesto
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CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL
International Journal of Theoretical and Applied Finance, 2007We hedge options on electricity spot prices by cross hedging, i.e., by using another financial asset. We calculate hedging strategies by quadratic minimization and local risk minimization. In our model of energy markets, we have done a deep study of no arbitrage and of the existence of martingale measures with square integrable density.
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