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Dynamic Linkages of Energy Commodities with Bullion and Metal Market: Evidence of Portfolio Hedging
American Business Review, 2023 This paper examines the dynamic linkages of volatility of energy commodities with bullion and the metal market. The proxies of energy commodities are crude oil and natural gas; bullion markets are Gold, silver and platinum and metal markets are copper ...
Shegorika Rajwani +3 more
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Organic Wheat Prices and Premium Uncertainty: Can Cross Hedging and Forecasting Play a Role?
Journal of Agricultural and Resource Economics, 2019 We compare the volatility of organic wheat prices to that of conventional wheat prices using historical measures. To reduce uncertainty, we examine the possibility of cross hedging using conventional wheat futures and the ability of futures to forecast ...
Tatiana Drugova +3 more
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Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts [PDF]
مدلسازی اقتصادسنجی, 2019 The present study aims to provide a model for covering price risks in Iranian importers of agricultural commodities. In order to assess the efficiency of the model, daily spot and futures prices of soybeans and corn were collected from the Chicago ...
Omid Khodaverdi +3 more
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Study the Optimal Hedge Ratio in Exchange Rate and gold in developing and newfound financial Markets: Case Study of Tehran Stock Exchange and Istanbul [PDF]
مدلسازی اقتصادسنجی, 2018 The main aim of this study is to investigate the possibility of hedging the risk of exchange rate fluctuations by using the gold future market and comparing the risk hedge in Tehran Exchange Stock as a developing financial market with the Istanbul ...
Mohsen Mehrara +3 more
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Estimating optimal hedging ratio and hedging efficiency in China's stock market
E3S Web of Conferences, 2023 This paper examines the risk spillover mechanism between China's stock market and international commodity markets using selected industry data series on soybean copper, gold, silver, sugar, and crude oil. Based on the results of this analysis, a DCC-GARCH model is used to describe the dynamic correlation, build a risk hedging model, calculate the risk ...
Yansong Song +3 more
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A semiparametric estimation of the optimal hedge ratio
The Quarterly Review of Economics and Finance, 2007 Abstract Standard static hedging models employing futures contracts yield poor results for most commodities, especially when compared with the evidence for financial instruments such as stock indexes and currencies. Moreover, the efforts in the dynamic hedging of commodity prices via GARCH models have found limited success.
Department of Economics, College of Business Administration, University of Florida, Gainesville, FL 32611, United States ( host institution ) +3 more
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Mathematics, 2023 This paper examines the dynamic relationships and the volatility spillover effects among crude oil, gold, and Chinese electricity companies’ stock prices, from 2 December 2008 to 25 July 2022. By estimating the dynamic conditional correlation (DCC) model,
Guannan Wang, Juan Meng, Bin Mo
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Tackling Investment Risks Using Equity Options During Extreme Economic Upheavals: Indian Evidence
Colombo Business Journal, 2021 The study is an empirical scrutiny on the Indian equity options market to examine whether it facilitates the reduction of investment risks, focusing on an economic sphere with financial upheavals.
James Varghese
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OPTIMAL HEDGE RATIOS FOR TURKISH MORTALITY [PDF]
, 2016 The increase in life expectancy of individuals poses a risk for insurance companies. If people live longerthan anticipated, insurance companies make losses on their annuity books. The risk that survivor ratesmight be higher than anticipated is called the longevity risk.In this paper, a pension plan whose aim is to hedge its longevity risk with ...
DEĞİRMENCİ, Selin, ŞAHİN, Şule
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Effect of inflation and liquidity on the Hedging of Oil Transactions by Participating in Gold Market: RS-DCC [PDF]
اقتصاد باثباتOil prices and other oil-products prices are connected and their price volatilities are parallel. Firms that are using crude oil in their products are facing the risk of price volatility which has different reactions in each era and is known under ...
Teymour Mohammadi +3 more
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