Results 201 to 210 of about 41,672 (247)

The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs

International Review of Economics and Finance, 2018
This paper examines the impact of the rebalancing horizon on the transaction costs per hedging effectiveness (TC/HE ratio) for dynamic hedging of the S&P 500 index with 21 commodity indices.
B. Jitmaneeroj
semanticscholar   +1 more source

Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

Accounting and Finance, 2005
We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares-based model, a vector autoregression, a vector error-correction model and a diagonal-vec multivariate generalized autoregressive ...
Wenling Yang, David E. Allen
openaire   +1 more source

The effectiveness of foreign debt in hedging exchange rate exposure: Multinational enterprises vs. exporting firms

, 2020
This study examines the effect of foreign debt use on the reduction in foreign exchange rate risk between multinational enterprises (MNEs) and exporting firms. We use manufacturing firms in Korea and find that the hedging effectiveness of foreign debt of
Soonsung Kim, Jaiho Chung, J. Hwang, J. Pyun   +3 more
semanticscholar   +1 more source

Comparing the Hedging Effectiveness of Weather Derivatives Based on Remotely Sensed Vegetation Health Indices and Meteorological Indices

Weather, Climate, and Society, 2018
Weather derivatives are considered a promising agricultural risk management tool. Station-based meteorological indices typically provide the data underlying these instruments.
Johannes Möllmann, M. Buchholz, O. Musshoff   +2 more
semanticscholar   +1 more source

Hedging strategy for crude oil trading and the factors influencing hedging effectiveness

Energy Policy, 2010
Abstract This study analyzes the hedging effectiveness of different hedge type and period by Korean oil traders. Both crude oil price and exchange rate risks are considered. Theoretical models are formulated to estimate the hedge ratios by separate and complex hedge types. The hedging period covers 1–12 months.
Won-Cheol Yun, Hyun Jae Kim
openaire   +1 more source

Spillovers and hedging effectiveness of non-ferrous metals and sub-sectoral clean energy stocks in time and frequency domain

Energy Economics, 2022
Ying Chen, Xuehong Zhu, Jinyu Chen
semanticscholar   +1 more source

Oil price risk exposure of BRIC stock markets and hedging effectiveness

Annals of Operations Research, 2021
S. Shahzad, Elie Bouri, M. Rehman, M. Naeem, T. Saeed   +4 more
semanticscholar   +1 more source

Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Applied Economics, 2014
This article proposes to use the three multivariate skew distributions (generalized hyperbolic distribution, multivariate skew normal distribution, and multivariate skew Student-t distribution) for estimating the minimum variance hedge ratio in a dynamic setting.
openaire   +1 more source

Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis

, 2021
Olfa Belhassine, C. Karamti
semanticscholar   +1 more source

Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness

Journal of Asset Management, 2021
Wajdi Hamma, Ahmed Ghorbel, Anis Jarboui
semanticscholar   +1 more source