Results 11 to 20 of about 41,412 (327)
Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
Journal of Risk and Financial Management, 2008 This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal ...
Dewally, Michael, Marriott, Luke
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Hedge Effectiveness Forecasting [PDF]
, 2008 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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The Assessment of Hedge Effectiveness [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2012 Earnings volatility can be a significant source of concern for a company, putting pressure on its capital base and share price. Prudent management of the company’s exposure to different risks typically involves hedging solutions. Hedging is important for
Cristina BUNEA-BONTAS
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Longevity Hedge Effectiveness: A Decomposition [PDF]
Quantitative Finance, 2011 We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value of the hedge and the value of the pension liability.
Andrew J. G. Cairns +3 more
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M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets
SSRN Electronic Journal, 2001 This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios.
Wenling Joey Yang
openalex +3 more sources
Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets
Energies, 2023 The European Union (EU) has agreed to gradually include shipping in the EU emissions trading scheme (EU ETS), which makes shipping companies vulnerable to carbon price fluctuations.
Theodoros Syriopoulos +2 more
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Longevity hedge effectiveness using socioeconomic indices
Insurance: Mathematics and Economics, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Malene Kallestrup-Lamb +1 more
openaire +5 more sources
Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market
Borsa Istanbul Review, 2022 The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures ...
Goknur Buyukkara +2 more
doaj +1 more source
Frontiers in Physics, 2023 This paper examines the impact of risk spillovers between Chinese stock and futures markets on stock hedging policies. This paper calculates the correlation between the overall risk spillover and the hedging ratio, effectiveness, and hedging cost based ...
Kai Shi, Junlian Gong
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Borsa Istanbul Review, 2022 Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional emerging stock market indices, hedged with oil, gold, and the VSTOXX as well as four emerging-country sectoral CDS indices (raw ...
Nejib Hachicha +4 more
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