Results 121 to 130 of about 41,672 (247)

Hedging Cash Flows from Commodity Processing [PDF]

open access: yes
Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch ...
Dahlgran, Roger A.
core   +1 more source

Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets [PDF]

open access: yes
This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of ...
Pandey, Ajay
core  

A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios [PDF]

open access: yes
This paper develops a new bivariate Markov regime switching BEKK-GARCH (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK- GARCH model, and an extension of Gray’s univariate generalized regime- switching (GRS) model to the bivariate ...
Hsiang-Tai Lee, Jonathan Yoder
core  

Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities [PDF]

open access: yes
This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models, where conditional returns are constrained to being normal, as well ...
Jin-Chuan Duan   +2 more
core  

Home - About - Disclaimer - Privacy