Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets ...
Esmaiel Abounoori, Mansour Tour
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Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 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
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Hedging ship price risk using freight derivatives in the drybulk market
Journal of Shipping and Trade, 2019 We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship
Roar Adland +2 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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Effect of Different Oil Regimes on the Hedging of Oil Transactions by Participating in Gold Market: RS-DCC Approach [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2023 Oil prices and other oil-products prices are connected to each other and their price volatilities are parallel. Firms which are using crude oil in their products are facing a risk of price volatility which has different reactions in each era and is known
Sarah Akbari +3 more
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OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH
Journal of Islamic Monetary Economics and Finance, 2023 This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns.
Bayu Adi Nugroho +1 more
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COMPARATIVE ANALYSIS OF STRATEGIES FOR HEDGING A SECURITIES PORTFOLIO WITH FUTURES
Финансы: теория и практика, 2017 Hedging is one of the most popular strategies of the market risk management. The main purpose of hedging is to reduce the volatility (or variability) of the yield on the portfolio composed of spot assets and hedging tools.
V. V. Lakshina, K. A. Lapshina
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Hedge Euphemisms as Tools of Economic Discourse
Научный диалог, 2021 An attempt is made to analyze euphemized and non-euphemized versions of statements using the example of headings of short exchange messages. The relevance of the study is due to the need to study the causes and situations of the appearance of hedge ...
E. L. Shubina, A. V. Sedova
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State-dependent hedge strategy for crude oil spot and futures markets
Borsa Istanbul Review, 2022 Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways.
Xing Yu +4 more
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