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 hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that
Dewally, Michael, Marriott, Luke
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Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? [PDF]
PLoS ONE, 2023 This study utilizes the hedging potential of the U.S. Dollar Index (USDX) during the COVID-19 period, specifically comparing its positive effects on optimal portfolio weights and hedging ratios with those of traditional hedging assets, such as the VIX ...
Seok-Jun Yun +2 more
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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
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Business decision-making of power generators in competitive electricity market [PDF]
HeliyonThis paper presents a theoretical framework for the business decision-making process of the power generators as price takers when considering the participation of energy storage.
Lingjie Shao +5 more
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Designing a productive, profitable integrated farming system model with low water footprints for small and marginal farmers of Telangana [PDF]
Scientific ReportsIn the years 2021–2022 and 2022–2023, an experiment was carried out at the IFS Unit, College of Agriculture, PJTSAU, Rajendranagar in order to determine the best one-acre integrated farming system model for Telangana's small and marginal farmers.
Rayapati Karthik +14 more
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Optimal hedge ratio and elasticity of risk aversion [PDF]
Economics Bulletin, 2004 We apply the mean-standard deviation paradigm to examine a widely used model of the hedging literature. As the hedging model satisfies a scale and location condition the mean-standard deviation technique provides more intuition for the revision of the firm's optimum risk taking when price volatility changes.
Udo Broll, Jack E. Wahl
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Impacts of El Niño southern oscillation on hedge strategies for Brazilian corn and soybean futures contracts [PDF]
Revista de Economia e Sociologia Rural, 2022 : Climate influences the variations in soybean and corn prices; thus, we assessed the relationship between the El Niño Southern Oscillation (ENSO) with soybean-to-corn price ratio to determine potential impacts on price risk management.
George Lucas Máximo Ferreira +2 more
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Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
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Dynamic Modeling of Estimating the Optimal Hedge Ratio of Gold Coin with Saffron Futures Contracts [PDF]
فصلنامه بورس اوراق بهادار, 2021 This research is an attempt to introduce a desirable pattern for Dynamic Modeling of the Estimated Optimal Ratio of Gold Coin Risk Coverage. Given the unique nature of Iran in producing and supplying saffron and weakness in the commercial sector of this ...
Maryam Borzabadi farahani +2 more
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Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets
Scientific Annals of Economics and Business, 2022 Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures ...
Metin Tetik, Ercan Özen
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