Results 21 to 30 of about 45,620 (291)
The Semivariance-Minimizing Hedge Ratio
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
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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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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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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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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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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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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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Time Varying Risk Aversion: An Application to Energy Hedging [PDF]
, 2009 Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk ...
Cotter, John, Hanly, Jim
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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
openaire +3 more sources
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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