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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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A Two-Population Mortality Model to Assess Longevity Basis Risk
Risks, 2021 Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two-population model to
Selin Özen, Şule Şahin
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Cross–asset class portfolio between gold and stocks in Indonesia
Economic Journal of Emerging Markets, 2018 This study observes the effectiveness of hedging by using the gold commodity futures instrument as a hedge asset towards Indonesian stock which is represented by sectoral indices and Composite Stock Price Index (CSPI).
Mesakh Prihanto Surya Putra +2 more
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Risks, 2020 We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged.
Uditha Balasooriya +2 more
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Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets [PDF]
This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of ...
Pandey, Ajay
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A Utility Based Approach to Energy Hedging [PDF]
, 2011 A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function.
Alexander +26 more
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Hedge Effectiveness Forecasting [PDF]
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally ...
Dahlgran, Roger A., Ma, Xudong
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal ...
Chang, C-L. +2 more
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TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH [PDF]
In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal.
Garcia, Philip +2 more
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Basic Principles of Hedge Accounting [PDF]
The development of the capital markets increases the key role of the financial manager both in using the new techniques for administrating the risks and in assessing hedge effectiveness.
Bunea-Bontaş, Cristina Aurora
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