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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Hedging Pressure Effects in Futures Markets [PDF]
The Journal of Finance, 2000 We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging ...
de Roon, F.A., Nijman, T.E., Veld, C.H.
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Cogent Economics & Finance, 2023 The agriculture sector observed the penetration of parametric weather risk financial products, including weather index insurance and weather derivatives, between the late 1990s and the early 2000s.
Gaurav Gairola, Kushankur Dey
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Economic imperatives of financialization of agricultural commodity markets
Agricultural and Resource Economics, 2022 Purpose. The purpose of the article is to substantiate the theoretical and methodological foundations and economic feasibility of intensifying the processes of financialization of the business model of Ukrainian grain producers, in particular through the
Iryna Hrabynska +2 more
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Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
4th ACM International Conference on AI in Finance, 2023 We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market by innovatively following a Heston-style volatility signal. The proposed model generalises both the
Kang Gao +5 more
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SAGE Open, 2020 Previous studies have shown that cryptocurrencies could hedge equities. However, most of those studies did not take into account the recent cryptocurrencies bubbles in 2018 and domestic currencies.
Didik Susilo +4 more
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ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach
SAGE Open, 2022 This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets.
Andreas Renard Widarto +3 more
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Jurnal Manajemen & Agribisnis, 2017 Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio
Buddi Wibowo
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THE USE OF POTENTIAL OF HEDGE FUNDS FOR UKRAINIAN INVESTORS [PDF]
Akademičnij Oglâd, 2021 Studies show that the world of finance is not standing still; new methods and tools of attracting and using financial capital are constantly appearing.
Iryna S. Shkura +2 more
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The Effect of Asymmetries on Optimal Hedge Ratios [PDF]
The Journal of Business, 2002 There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return ...
Brooks, Chris +2 more
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