AN EVALUATION OF PRICING PERFORMANCE AND HEDGING EFFECTIVENESS OF THE BARLEY FUTURES MARKET [PDF]
This paper investigates the pricing efficiency and hedging effectiveness of the Winnipeg barley futures market, using the Chicago corn futures market as a norm. Several tests of pricing efficiency were conducted and the stability of the basis was studied.
Carter, Colin A.
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SPATIAL ANALYSIS OF FEEDER CATTLE HEDGING RISK [PDF]
Optimal hedge ratios are estimated for various weights of feeder cattle in four cash markets based on CME data from 1992 to 1999. Three-month uniform hedges are simulated for every weight, contract, and cash market combination.
Anderson, John D. +2 more
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The impact of currency market shocks on global bond fund returns and volatility
Borsa Istanbul ReviewThis study employs advanced econometric models—TVP-SV-VAR, BEKK-MGARCH, DCC)-MGARCH, and WQR models—to analyse the exchange rate sensitivity of global bond ETFs.
Zheng Lü +4 more
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Assessing the influence of spot price predictability on electricity futures hedging [PDF]
A common feature of energy prices is that spot price changes are partially predictable due to weather and demand seasonalities. This paper follows the Ederington and Salas (2008) framework and considers the expected change in spot prices when minimum ...
Torro, Hipolit
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The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model [PDF]
Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the ...
Power, Gabriel J., Vedenov, Dmitry V.
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Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? [PDF]
PLoS One, 2023 Yun SJ, Choi SY, Kim YS.
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Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market [PDF]
The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world.
Charles Ward, Yoshiki Kago
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Diversification of the Islamic stock market, Bitcoin, and Bullions in response to the Russia-Ukraine conflict and the COVID-19 outbreak. [PDF]
Heliyon, 2023 Ashraf S +3 more
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Hedging Effectiveness of U.S. Wheat Futures Markets [PDF]
Futures markets as a tool for risk management have become increasingly important in recent years. The effectiveness of hedging in the U.S. wheat futures market is evaluated in this study.Marketing,
Wilson, William W.
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EVALUATING THE HEDGING POTENTIAL OF THE LEAN HOG FUTURES CONTRACT [PDF]
The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract.
Ditsch, Mark W., Leuthold, Raymond M.
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