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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
doaj +4 more sources
Stochastic optimal hedge ratio: theory and evidence [PDF]
Applied Economics Letters, 2011 The minimum variance hedge ratio is widely used by investors to immunize against the price risk. This hedge ratio is usually assumed to be constant across time by practitioners, which might be a too restrictive assumption because the Optimal Hedge Ratio (OHR) might vary across time.
Hatemi-J, Abdulnasser +1 more
openaire +3 more sources
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
doaj +2 more sources
Generalized Optimal Hedge Ratio Estimation [PDF]
American Journal of Agricultural Economics, 1989 AbstractA generalized approach to estimating optimal hedge ratios on futures markets is developed. The generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation.
Robert J Myers
exaly +4 more sources
The Dynamic International Optimal Hedge Ratio [PDF]
SSRN Electronic Journal, 2011 Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the
Liu, Xiaochun, Jacobsen, Brian
openaire +3 more sources
The Semivariance-Minimizing Hedge Ratio [PDF]
Journal of Agricultural and Resource Economics, 2003 This study presents a new approach to the optimal hedging decision. In some empirical studies, the standard hedge using the mean-variance hedge ratio provides results which are inconsistent with downside risk management.
Calum G. Turvey, Govindaray Nayak
doaj +2 more sources
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
doaj +2 more sources
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
doaj +2 more sources
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
doaj +1 more source