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Hedging: Scaling and the Investor Horizon [PDF]

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons.
Jim Hanly, John Cotter
core  

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, Arrow, Bernoulli, Bollerslev, Brandt, Brooks, Cabedo, Cecchetti, Chen, Cotter, Cotter, Danthine, deVille deGoyet, Ederington, Engle, Ghysels, Giovannini, Henning, Jim Hanly, John Cotter, Kroner, Lien, Markowitz, Merton, Merton, Regnier, Townsend   +26 more
core   +3 more sources

Mexican White Corn Spot Price Hedging with US Agricultural Futures Portfolios Using the Surplus Efficient Frontier

Agriculture
This paper addresses the lack of hedging effectiveness that yellow corn 1-month futures of the Chicago Mercantile Exchange (CME) offer for cross-hedging the price of Mexican white corn.
Oscar V. De la Torre-Torres, Rodolfo A. López-Torres, María de la Cruz del Río-Rama, José Álvarez-García   +3 more
doaj   +1 more source

An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]

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 ...
John Cotter, Thomas Conlon
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Should South Asian Stock Market Investors Think Globally? Investigating Safe Haven Properties and Hedging Effectiveness

Economies
In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan ...
Md. Abu Issa Gazi, Md. Nahiduzzaman, Sanjoy Kumar Sarker, Mohammad Bin Amin, Md. Ahsan Kabir, Fadoua Kouki, Abdul Rahman bin S Senathirajah, László Erdey   +7 more
doaj   +1 more source

Oil and non-energy commodity markets: An empirical analysis of volatility spillovers and hedging effectiveness

Cogent Economics & Finance, 2017
Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets.
Anupam Dutta, Md Hasib Noor
doaj   +1 more source

Climate Change, Weather Insurance Design and Hedging Effectiveness [PDF]

The insurance industry has so far relied on historical data to develop and price weather insurance contracts. In light of climate change, we examine the effects of this practice in terms of the hedging effectiveness and profitability of insurance ...
Annelie Holzkaemper, Ines Kapphan, Pierluigi Calanca   +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, Leuthold, Raymond M., Manfredo, Mark R.   +2 more
core   +1 more source

Which Sectoral CDS Can More Effectively Hedge Conventional and Islamic Dow Jones Indices? Evidence from the COVID-19 Outbreak and Bubble Crypto Currency Periods

Risks
In this study, we aim to provide a comprehensive analysis of the risk management potential of sectoral Credit Default Swaps (CDSs) within financial portfolios.
Rania Zghal, Fredj Amine Dammak, Semia Souai, Nejib Hachicha, Ahmed Ghorbel   +4 more
doaj   +1 more source

MINIMUM VARIANCE HEDGING AND THE ENCOMPASSING PRINCIPLE: ASSESSING THE EFFECTIVENESS OF FUTURES HEDGES [PDF]

An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to ...
Manfredo, Mark R., Sanders, Dwight R.
core   +1 more source