On hedge effectiveness assessment under IFRS 9
Audit Financiar, 2018 IFRS 9 has introduced certain radical changes to the hedge effectiveness assessment criteria of IAS 39 for entities desirous of availing hedge accounting.
Jatinder Pal Singh
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Cointegration, Price-Adjustment Delays, and Optimal Hedge Ratio in the Precious Metal Markets
Applied Finance Letters, 2019 Firms seeking to apply hedge accounting treatment under the Accounting Standards Codification Topic 815 must demonstrate higher hedge effectiveness, for which the regression analysis is commonly used as a testing method. An autoregressive distributed lag
Hirofumi Nishi
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Hedge Scope Detection in Biomedical Texts: An Effective Dependency-Based Method. [PDF]
PLoS ONE, 2015 Hedge detection is used to distinguish uncertain information from facts, which is of essential importance in biomedical information extraction. The task of hedge detection is often divided into two subtasks: detecting uncertain cues and their linguistic ...
Huiwei Zhou +3 more
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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Construction of Mixed Derivatives Strategy for Wind Power Producers
Energies, 2023 Due to the inherent uncertainty of wind conditions as well as the price unpredictability in the competitive electricity market, wind power producers are exposed to the risk of concurrent fluctuations in both price and volume.
Yuji Yamada, Takuji Matsumoto
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An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]
, 2011 This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various ...
Benet +29 more
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Relationship between mutual funds and hedge funds performance in different periods
Finance, Markets and Valuation, 2018 The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later.
Lechner, Gerhard, Fauster, Benjamin
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Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market
Borsa Istanbul Review, 2022 The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures ...
Goknur Buyukkara +2 more
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Estimation of Constant and Time-varying Optimal Hedge Ratio and Hedging Effectiveness in the Natural gas Futures Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2013 One of the most important roles of a futures market is to provide the means of risk reduction. Optimal hedge strategy is determined via calculation of the hedge ratio. Estimation of hedge ratio and hedging effectiveness depend on correct specification of
Mohammad Alimoradi
doaj
Revista Contabilidade & Finanças, 2003 O hedge accounting constitui inovação relevante introduzida pelo SFAS 133. Dentro desse critério, operações designadas como hedge deverão ter seus resultados diferidos para o momento no qual os itens sendo protegidos forem reconhecidos.
Alexsandro Broedel Lopes +1 more
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