Results 21 to 30 of about 2,532 (291)
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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The Effect of Asymmetries on Optimal Hedge Ratios [PDF]
The Journal of Business, 2002 There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return ...
Brooks, Chris +2 more
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH
Journal of Islamic Monetary Economics and Finance, 2023 This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns.
Bayu Adi Nugroho +1 more
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Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets ...
Esmaiel Abounoori, Mansour Tour
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Sustainable and responsible investment dynamic cross-asset portfolio
Cogent Business & Management, 2023 Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold.
Robiyanto Robiyanto +3 more
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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
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