HEDGING WITH FUTURES AND OPTIONS: A DEMAND SYSTEMS APPROACH [PDF]
The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is non-zero. Futures and options are treated as substitute goods, and properties of the resulting hedging demand
Frechette, Darren L.
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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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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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A BAYESIAN APPROACH TO OPTIMAL CROSS-HEDGING OF COTTONSEED PRODUCTS USING SOYBEAN COMPLEX FUTURES [PDF]
Cottonseed crushers face substantial risk in terms of input and output price variability and they are limited in their planning by the lack of viable futures markets for cottonseed or cottonseed products.
Rahman, Shaikh Mahfuzur +2 more
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COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING [PDF]
This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter.
Haigh, Michael S., Bryant, Henry L.
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MANAGING PRICE RISK IN COTTON PRODUCTION USING STRATEGIC ROLLOVER HEDGING [PDF]
Research on rollover hedging for agricultural commodities has focused on the consequences of using existing contracts to substitute for missing long-term contracts.
Heboyan, Vahe, Turner, Steven C.
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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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Hedging Break-Even Biodiesel Production Costs Using Soybean Oil Futures [PDF]
The effectiveness of hedging volatile input prices for biodiesel producers is examined over one- to eight-week time horizons. Results reveal that hedging break-even soybean costs with soybean oil futures offers significant reductions in input price risk.
Popp, Michael P. +2 more
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THE FEASIBILITY OF A BOXED BEEF FUTURES CONTRACT: HEDGING WHOLESALE BEEF CUTS [PDF]
The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an
Hahn, Tony +3 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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