OPTIMAL HEDGE RATIO IN TURKISH STOCK INDEX FUTURES MARKET: A DECO-FIAPARCH APPROACH [PDF]
Financial Studies, 2021 This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019,
İsmail ÇELİK, Ahmet Furkan SAK
doaj
New Insights on Hedge Ratios in the Presence of Stochastic Transaction Costs
Risks, 2018 The objective of this research is to evaluate the influence on hedging decisions of a realistic set of transaction costs which are largely stochastic. The stochastic nature of some transaction costs (such as margin calls) means that their exact value is ...
Elisson Andrade +2 more
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Risk Analysis of Round Fandoghi Pistachio Contracts in the Iran Mercantile Exchange Market [PDF]
مجله اقتصاد و توسعه کشاورزیIran Mercantile Exchange is striving to become a regional hub for price discovery of essential commodities and raw materials, providing producers with financial instruments and risk management tools.
S. Sadafi Abkenar +3 more
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SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS
Ural Mathematical Journal, 2020 An important theorem in stochastic finance field is the martingale representation theorem. It is useful in the stage of making hedging strategies (such as cross hedging and replicating hedge) in the presence of different assets with different stochastic ...
Reza Habibi
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Using green and ESG assets to achieve post-COVID-19 environmental sustainability [PDF]
Fulbright Review of Economics and Policy, 2023 Purpose – This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery ...
Md. Bokhtiar Hasan +4 more
doaj +1 more source
Robust estimation of the optimal hedge ratio [PDF]
Journal of Futures Markets, 2003 AbstractWhen using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean‐variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio,which can be estimated by regressing the spot ...
Harris, Richard DF, Shen, Jian
openaire +2 more sources
Energy Commodities: A Review of Optimal Hedging Strategies
Energies, 2019 Energy is considered as a commodity nowadays and continuous access along with price stability is of vital importance for every economic agent worldwide.
George E. Halkos +1 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
openaire +2 more sources
Estimation of Constant and Time-varying Optimal Hedge Ratio and Hedging Effectiveness in the Natural gas Futures Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2013 One of the most important roles of a futures market is to provide the means of risk reduction. Optimal hedge strategy is determined via calculation of the hedge ratio. Estimation of hedge ratio and hedging effectiveness depend on correct specification of
Mohammad Alimoradi
doaj
Toward greater stability in stablecoins: Empirical evidence from an analysis of precious metals
Borsa Istanbul Review, 2023 Cryptocurrencies surged in popularity as an alternative medium of payment and security among both users and investors. However, the recent collapse of Bitcoin, Ether, and other traditional cryptocurrencies has raised concern about their capacity to ...
Alam Asadov +2 more
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