Results 131 to 140 of about 41,412 (327)
ANTICIPATORY HEDGING WITH TREASURY BILLS: THE CASE OF A BANK FOR COOPERATIVES [PDF]
Agricultural cooperatives find it difficult to forecast their interest costs and net income. If input and output prices are fixed, anticipatory hedging of future interest costs is appropriate. Banks for Cooperatives obtain funds in maturities longer than
Severn, Alan K.
core +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
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
Producer-Level Hedging Effectiveness of Class III Milk Futures
, 2008 Ira J. Altman +5 more
openalex +2 more sources
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.
core +1 more source
The Case of Fleeting Orders and Flickering Quotes
Journal of Futures Markets, EarlyView.ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze +2 more
wiley +1 more source
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
Journal of Futures Markets, EarlyView.ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in ...
Daniel Felix Ahelegbey +2 more
wiley +1 more source
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 ...
Chia-Lin Chang +2 more
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Hedging effectiveness of total returns swaps: application to the Japanese market [PDF]
, 2008 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.
Kago, Yoshiki, Ward, Charles W. R.
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