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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators [PDF]
Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios to a second ...
Dahlgran, Roger A.
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Currency Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures ...
Juan-Ángel Jiménez-Martín +2 more
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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 ...
Ines Kapphan +2 more
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HEDGING WHOLESALE BEEF CUTS [PDF]
Live cattle futures markets do not offer much opportunity for effective hedging of wholesale beef cuts. If a Choice-to-Select price spread futures contract were introduced this would enhance hedging effectiveness although likely not enough to encourage ...
Schroeder, Ted C., Yang, Xiaolou
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TRANSACTION FREQUENCY, INVENTORIES AND HEDGING IN COMMODITY PROCESSING [PDF]
This study examines hedging strategies for commodity processors generally and soybean crushers specifically. Processors require hedging strategies built around processing multiple batches each year.
Dahlgran, Roger A.
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Transportation Research Interdisciplinary PerspectivesAmid the turbulent periods of the COVID-19 outbreak and the war in Ukraine, this study investigates the dynamic relationships, portfolio performance, and hedging effectiveness of marine equities in relation to key asset classes—namely commodities, stocks,
Ghulame Rubbaniy +3 more
doaj +1 more source
Structurally Sound Dynamic Index Futures Hedging [PDF]
Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close eye on the relation between the futures and their stock portfolio returns.
Patrick McGlenchy, Paul Kofman
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Scientific Annals of Economics and BusinessSuccessions of crises are currently affecting the world, which have had an impact on the worldwide financial market. Indeed, the COVID-19 pandemic and the Russia-Ukraine war have caused significant disruption, slowing global economic and financial ...
Fatma Mathlouthi, Slah Bahloul
doaj +1 more source
Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts [PDF]
During 2006 the fishmeal price nearly doubled from $500MT to over $900MT. The objective of this research is to determine the optimal cross-hedge ratio between fishmeal and soybean meal and corn, and corresponding hedging weight between corn and soybean ...
Altman, Ira J. +3 more
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Comparing conditional hedging strategies. [PDF]
The traditional approach to discriminate amongst two competing hedging strategies is to compare the sample portfolio return variance implied by each strategy. This simple approach suffers from two drawbacks.
de Ville, e Goyet, C
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