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Cross Hedging and Liquidity: a note [PDF]

, 2003
Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate case is described and commented, but transaction costs are ...
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Cross Hedging with Currency Forward Contracts

Journal of Futures Markets, 2012
This study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well‐developed currency forward markets to which the firm has access.
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A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection

Management Science, 2021
Wenbo Wu, Jiaqi Chen, Zhibin Yang
exaly  

Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices

Journal of Commodity Markets, 2022
Justin D Bina, Ted C Schroeder, Glynn T Tonsor   +2 more
exaly  

Value-at-risk and the cross section of emerging market hedge fund returns

Global Finance Journal, 2022
Sara Ali, Ihsan Badshah
exaly  

Optimal Cross Hedging Winter Canola

2014
Winter canola in the southern Great Plains has shown large price fluctuations and there have been questions about which futures market could be used to reduce price risk. Our results indicate that the optimal futures contract to cross hedge winter canola is soybean oil futures.
Kim, Seon-Woong, Brorsen, B. Wade, Yoon, Byung-Sam   +2 more
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A macroeconomic hedge portfolio and the cross section of stock returns

Review of Financial Economics, 2021
Olaf Stotz
exaly  

Optimal cross‐hedge portfolios for hedging stock index options

Journal of Futures Markets, 1989
Michael J. Alderson, Terry L. Zivney
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Effective Cross-Hedging for Commodity Currencies [PDF]

, 2005
There has been little evidence in the past to support the use of commodity-currency cross-hedges (Demaskey and Pearce, 1998; Benet, 1990; Eaker and Grant, 1987). However, this paper shows that if currencies can be defined as commodity currencies, as per Chen and Rogoff (2003) and Cashin, Ce´spedes and Sahay (2004), commodity-currency cross-hedges are ...
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Cross hedging in currency forward markets [PDF]

, 1996
In a framework for risk management a model of an international firm under exchange rate uncertainty is discussed. The firm can cross-hedge the exchange rate risk by using forwards of other country's currencies correlated to the spot exchange rate in question.
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