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Proposed Farm Bill Impact On The Optimal Hedge Ratios For Crops
2013Revenue insurance with shallow loss protection for farmers has been introduced recently. A common attribute of most shallow loss proposals is that they would be area-revenue triggered. The impact on optimal hedge ratios of combining these shallow loss insurance proposals with deep loss farm-level insurance is examined.
Tran, Trang +9 more
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Optimal hedge ratios in the presence of common jumps
Journal of Futures Markets, 2009AbstractThis study derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk.
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A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
Journal of Futures Markets, 2013AbstractWe propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum‐VaR and the minimum‐expected shortfall hedge ratios as special cases.
BARBI, MASSIMILIANO, ROMAGNOLI, SILVIA
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A clustering time series model for the optimal hedge ratio decision making
Neurocomputing, 2014Abstract In this study, a novel procedure combining computational intelligence and statistical methodologies is proposed to improve the accuracy of minimum-variance optimal hedge ratio (OHR) estimation over various hedging horizons. The time series of financial asset returns are clustered hierarchically using a growing hierarchical self-organizing ...
Yu-Chia Hsu, An-Pin Chen
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Time-varying distributions and the optimal hedge ratios for stock index futures
Applied Financial Economics, 1995This paper estimates the risk-minimizing futures hedge ratios for three types of stock index futures: S&P 500 index futures, major market index (MMI) futures and Toronto 35 index futures. Spot and futures prices are first analysed to adjust for non-stationarity and cointegration.
Tae H. Park, Lorne N. Switzer
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Crude Oil Risk Management: the Optimal Hedge Ratio and Hedging Effectiveness Evolution [PDF]
ECONOMIA seria MANAGEMENT / ECONOMY - MANAGEMENT series, 2014 The main purpose of risk management is to reduce the cash-flows fluctuations of a company. In order to properly manage risks, the estimation of the optimal hedging ratio is needed. This paper analyzes the evolution of the optimal hedge ratio and hedging effectiveness for the Brent crude oil.
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The Journal of Investment Strategies, 2013
We consider the delta-hedging strategy for a vanilla option under the discrete hedging and transaction costs, assuming that an option is delta-hedged using the BlackScholes-Merton model with the log-normal volatility implied by the market price of the option.
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We consider the delta-hedging strategy for a vanilla option under the discrete hedging and transaction costs, assuming that an option is delta-hedged using the BlackScholes-Merton model with the log-normal volatility implied by the market price of the option.
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Cross-hedging copper scrap : an examination of the optimal hedge ratio and market price determinants
2020Copper is a unique metal, which finds due to its particular characteristics a wide range of applications. There is a large demand for the material, which is only available in very limited amounts. The supplied quantities thereby not only depend on various mines all over the world but also on recycled copper scrap from scrap yards.
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Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH Approach
Journal of Agricultural Economics, 2000Over 100,000 futures contracts for cereals are traded annually on the London International Financial Futures Exchange. The proportion of the spot position held as futures contracts ‐ the hedging ratio ‐ is critical to traders and traditional estimates, using OLS, are constant over time.
P. J. Dawson, A. L. Tiffin, B. White
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The cost of hedging and the optimal hedge ratio
Journal of Futures Markets, 1994Charles T. Howard, Louis J. D'Antonio
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