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  • Search: subject_exact:"Commodity hedging"
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Year of publication
Subject
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Hedging 9,768 Theorie 4,141 Theory 4,141 Portfolio selection 2,606 Portfolio-Management 2,606 Derivat 2,329 Derivative 2,329 Risikomanagement 1,697 Risk management 1,659 Optionspreistheorie 1,319 Option pricing theory 1,316 Volatilität 1,108 Volatility 1,106 Risiko 1,007 Risk 1,006 USA 915 United States 907 Welt 880 World 880 Commodity derivative 716 Rohstoffderivat 716 Optionsgeschäft 665 Option trading 663 Währungsrisiko 599 Exchange rate risk 582 Capital income 565 Kapitaleinkommen 565 Foreign exchange management 541 Währungsmanagement 541 Hedgefonds 535 Hedge fund 533 Stochastic process 524 Stochastischer Prozess 524 Estimation 504 Schätzung 504 Currency derivative 495 Währungsderivat 495 Warenbörse 470 Commodity exchange 467 ARCH model 460
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Online availability
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Free 2,837 Undetermined 2,230 CC license 145
Type of publication
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Article 5,775 Book / Working Paper 3,993 Journal 2
Type of publication (narrower categories)
All
Article in journal 5,302 Aufsatz in Zeitschrift 5,302 Graue Literatur 1,364 Non-commercial literature 1,364 Arbeitspapier 1,222 Working Paper 1,222 Aufsatz im Buch 383 Book section 383 Hochschulschrift 341 Thesis 285 Collection of articles of several authors 78 Sammelwerk 78 Lehrbuch 63 Textbook 59 Bibliografie enthalten 53 Bibliography included 53 Collection of articles written by one author 53 Sammlung 53 Glossar enthalten 38 Glossary included 38 Aufsatzsammlung 33 Conference paper 24 Konferenzbeitrag 24 Forschungsbericht 19 Konferenzschrift 19 Amtsdruckschrift 15 Government document 15 Handbook 14 Handbuch 14 Conference proceedings 13 Case study 12 Fallstudie 12 CD-ROM, DVD 7 Systematic review 7 Übersichtsarbeit 7 Mikroform 6 Ratgeber 6 Reprint 6 Bibliografie 5 Guidebook 5
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Language
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English 9,291 German 424 French 23 Spanish 18 Italian 8 Dutch 6 Portuguese 5 Finnish 3 Swedish 2 Afrikaans 1 Danish 1 Modern Greek (1453-) 1 Norwegian 1 Polish 1 Russian 1 Undetermined 1
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Author
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Broll, Udo 174 Lien, Da-hsiang Donald 88 Kit, Pong Wong 72 Wahl, Jack E. 70 Mensi, Walid 34 Kang, Sang Hoon 33 McAleer, Michael 33 Zilcha, Itzhak 33 Acharya, Viral V. 32 Hammoudeh, Shawkat 32 Hull, John 31 Platen, Eckhard 31 Madan, Dilip B. 29 Alexander, Carol 27 Dionne, Georges 25 Engle, Robert F. 25 Fabozzi, Frank J. 25 Lo, Andrew W. 25 Bouri, Elie 24 Hau, Harald 24 Cotter, John 23 Caballero, Ricardo J. 22 Giglio, Stefano 22 Conlon, Thomas 21 Lee, Cheng F. 20 Vo Xuan Vinh 20 Brown, Stephen J. 19 Chang, Chia-Lin 19 Eckwert, Bernhard 19 Korn, Olaf 19 Lucey, Brian M. 19 Melʹnikov, Aleksandr V. 19 Schweizer, Martin 19 Shiller, Robert J. 19 Barbi, Massimiliano 18 Frey, Rüdiger 18 Li, Johnny Siu-Hang 18 Adam-Müller, Axel F. A. 17 Alghalith, Moawia 17 Bhansali, Vineer 17
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Institution
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National Bureau of Economic Research 73 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 9 Institute of Finance and Accounting <London> 6 Universität Augsburg / Institut für Volkswirtschaftslehre 6 Bonn Graduate School of Economics 5 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 5 Center for Economic Research <Tilburg> 4 International Accounting Standards Board 4 World Bank 4 Basel Committee on Banking Supervision 3 Centre for Analytical Finance <Århus> 3 Deutsche Forschungsgemeinschaft 3 Foerder Institute for Economic Research <Tēl-Āvîv> 3 Rodney L. White Center for Financial Research 3 School of Finance and Business Economics <Perth, Western Australia> 3 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 3 Springer Fachmedien Wiesbaden 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Weltbank / International Trade Division 3 Chambre de commerce et d'industrie de Paris 2 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 2 Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück> 2 Gottfried Wilhelm Leibniz Universität Hannover 2 Institute of Chartered Financial Analysts of India 2 International Center for Financial Asset Management and Engineering 2 Internationaler Währungsfonds 2 Lunds Universitet / Nationalekonomiska Institutionen 2 Massachusetts Institute of Technology / Department of Economics 2 The Wharton Financial Institutions Center 2 USA / Congress / House of Representatives / Committee on Banking and Financial Services 2 University of York / Department of Economics and Related Studies 2 Université de Lausanne / École des Hautes Études Commerciales 2 Verlag Dr. Kovač 2 Vrije Universiteit Amsterdam / Department of Finance 2 Walter de Gruyter GmbH & Co. KG 2 Weierstraß-Institut für Angewandte Analysis und Stochastik 2 Asia Pacific Futures Research Symposium <13, 2003, Schanghai> 1 Australian National University / Faculty of Economics and Commerce 1 Banco de Portugal / Departamento de Estatística e Estudos Económicos 1 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 1
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Published in...
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The journal of futures markets 336 Energy economics 140 Finance research letters 123 International journal of theoretical and applied finance 122 Journal of banking & finance 113 International review of financial analysis 90 International review of economics & finance : IREF 84 Finance and stochastics 80 NBER working paper series 73 Mathematical finance : an international journal of mathematics, statistics and financial theory 69 Insurance / Mathematics & economics 68 Journal of financial economics 61 Applied economics 58 Working paper / National Bureau of Economic Research, Inc. 55 The review of financial studies 54 Economic modelling 52 Journal of multinational financial management 52 Applied mathematical finance 51 European journal of operational research : EJOR 51 The North American journal of economics and finance : a journal of financial economics studies 51 The journal of finance : the journal of the American Finance Association 51 Journal of economic dynamics & control 49 NBER Working Paper 48 Research in international business and finance 47 The journal of derivatives : the official publication of the International Association of Financial Engineers 47 The European journal of finance 45 Quantitative finance 44 Research paper series / Swiss Finance Institute 44 Journal of international financial markets, institutions & money 41 Risks : open access journal 40 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 40 Journal of international money and finance 39 Management science : journal of the Institute for Operations Research and the Management Sciences 38 American journal of agricultural economics 37 Applied financial economics 36 Journal of financial and quantitative analysis : JFQA 34 Pacific-Basin finance journal 34 Swiss Finance Institute Research Paper 34 Economics letters 33 Journal of risk and financial management : JRFM 33
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Source
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ECONIS (ZBW) 9,768 BASE 2
Showing 1 - 50 of 9,770
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196770
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Bank credit risk and sovereign debt exposure : moral hazard or hedging?
Baselga-Pascual, Laura; Loban, Lidia; Myllymäki, … - In: Finance research letters 71 (2025), pp. 1-7
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198361
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Hedge accounting and firms' future investment spending
Kreß, Andreas; Eierle, Brigitte; Hartlieb, Sven; … - In: Finance research letters 72 (2025), pp. 1-10
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272995
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The implications of CIP deviations for international capital flows
Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025
We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330343
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On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends
Babaei, Esmaeil - In: Mathematical methods of operations research : ZOR 101 (2025) 1, pp. 29-50
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What drives robo-advice?
Scherer, Bernd; Lehner, Sebastian - In: Journal of empirical finance 80 (2025), pp. 1-16
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329721
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Financial reporting quality and corporate hedging policy : preliminary evidence
Chen, Sipeng; Huang, Yuan - In: China Accounting and Finance Review 27 (2025) 2, pp. 210-236
Purpose - This study evaluates whether firms carry out hedging activities on interest rates and foreign exchange to mitigate the effect of financial constraints caused by the informational disadvantage. Design/methodology/approach - In this study, the financial reporting quality is measured with...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397411
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Polynomial approximation of discounted moments
Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - In: Finance and stochastics 29 (2025) 1, pp. 63-95
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Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments
Pedini, Luca; Severini, Sabrina - In: Studies in economics and finance 42 (2025) 1, pp. 1-30
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199632
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Unveiling the crypto-green nexus : a risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments
Patel, Ritesh; Kumar, Sanjeev; Agnihotri, Shalini - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359776
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The hedging channel of exchange rate determination
Liao, Gordon Y.; Zhang, Tony - 2025
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Event-driven changes in return connectedness among cryptocurrencies
Albrecht, Peter; Kočenda, Evžen - 2025
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Can financial hedging serve macroprudential objectives?
Andrián, Leandro; León-Díaz, John; Rojas, Eugenio - 2025
We examine hedging as a macroprudential tool in a Sudden Stops model of an economy exposed to commodity price fluctuations. We find that hedging commodity revenues yields significant welfare gains by stabilizing public expenditure, which heavily depends on these revenues. However, this added...
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Exchange rate effects on firm performance : a NICER approach
Nuwat Nookhwun; Jettawat Pattararangrong; Phurichai … - 2025
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Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic
Mishra, Aswini Kumar; Kamesh Anand K; Venkatasai … - 2025
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Does FX hedge mitigate the impact of exchange rate changes on credit risk? : evidence from a small open economy
Skufi, Lorena; Gersl, Adam - 2025
This study investigates the impact of exchange rate fluctuations on non-performing loans (NPLs), using a unique bank-by-bank dataset on lending to FX hedged and FX unhedged borrowers. Employing fixed effects and panel quantile regression, we analyze how changes in exchange rate affect the NPL...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272046
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Optimal design of multi-asset options
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...
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Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19
Han, SeungOh - 2025
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Event-driven changes in return connectedness among cryptocurrencies
Albrecht, Peter; Kočenda, Evžen - 2025
Our study presents an in-depth analysis of the interconnectedness in returns among five major cryptocurrencies from 2018 to 2023. Our work introduces novel findings by employing a novel bootstrap-after-bootstrap method of Greenwood-Nimmo et al. (2024) to establish a link between increases in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191778
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Event-driven changes in volatility connectedness in global forex markets
Albrecht, Peter; Kočenda, Evžen - 2025
Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously...
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Are hedge funds a hedge for increasing government debt issuance?
Epp, Adam; Gao, Jeffrey - 2025
This paper studies the rapid increase since 2019 of Government of Canada (GoC) debt issuance alongside greater hedge fund participation at GoC bond auctions. We find a systematic relationship between GoC debt stock and hedge fund bidding shares at auction. We attribute this to hedge funds'...
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Comparative analysis of futures contract cross-hedging effectiveness for soybean : models and insights
Erasmus, M. C.; Geyser, J. M. - In: Agrekon 63 (2024) 4, pp. 319-336
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Can gold-backed cryptocurrencies have dynamic hedging and safe-haven abilities against DeFi and NFT assets?
Belguith, Rihab; Snene Manzli, Yasmine; Bejaoui, Azza; … - In: Digital business 4 (2024) 2, pp. 1-17
Given that the interconnections of NFT and DeFi digital assets with other stablecoins still not sufficiently studied, this paper is two-fold. We first examine the dynamic conditional correlation between gold-backed cryptocurrencies and NFTs and DeFi assets during the period...
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Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds
Xu, Danyang; Corbet, Shaen; Lang, Chunlin; Hu, Yang - In: Economic modelling 141 (2024), pp. 1-18
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Inflation hedging via tracking portfolios in the BRICS markets
Meshram, Vedprakash; Lalwani, Vaibhav - In: Cogent economics & finance 12 (2024) 1, pp. 1-16
This study investigates the creation of portfolios that effectively hedge against inflation in the context of the stock markets of Brazil, Russia, India, China, and South Africa (BRICS). Utilizing Ordinary Least Squares (OLS), Ridge, MM, and Quantile regressions, we construct portfolios that...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192402
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Fund-level FX hedging redux
Bräuer, Leonie; Hau, Harald - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192715
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Should South Asian stock market investors think globally? : investigating safe haven properties and hedging effectiveness
Gazi, Md. Abu Issa; Nahiduzzaman, Md.; Sarker, Sanjoy Kumar - In: Economies : open access journal 12 (2024) 11, pp. 1-32
In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197820
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Partial hedging in credit markets with structured derivatives : a quantitative approach using put options
Siggelkow, Constantin - In: Journal of derivatives and quantitative studies : … 32 (2024) 4, pp. 286-322
This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015173788
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The Fisher's hedge hypothesis : what about homogeneity and stability properties?
Neifar, Malika; Harzallah, Amira - In: Journal of derivatives and quantitative studies : … 32 (2024) 4, pp. 344-370
The purpose of this study is to see if the Fisher's hypothesis validation is robust in year or/and countries dimensions. We investigate whether nominal or real stock market returns are hedged against inflation rate, so as to determine the appropriate time and markets to invest in (from the 32...
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175386
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Dynamic hedging responses of gold and silver to inflation : a Markov regime-switching VAR analysis
Valadkhani, Abbas; O'Mahony, Barry - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-14
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015323715
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A reinforcement learning algorithm for option hedging
Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326213
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Dynamic spillover between green cryptocurrencies and stocks : a portfolio implication
Yousaf, Imran; Cui, Jinxin; Ali, Shoaib - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-22
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Hedging desperation : how kinship networks reduced cannibalism in historical China
Chen, Zhiwu; Lin, Zhan; Zhang, Xiaoming - In: Journal of comparative economics : the journal of the … 52 (2024) 2, pp. 361-382
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066956
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Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies : evidence from major contagions
Kamesh Anand K; Mishra, Aswini Kumar - In: Borsa Istanbul Review 24 (2024) 6, pp. 1248-1262
The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...
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LASH risk and interest rates
Alfaro, Laura; Bahaj, Saleem; Czech, Robert; Hazell, … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154407
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015158136
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A study on the hedging and safe-haven features of non-fungible tokens segments
James, Emiliya; Kayal, Parthajit; Maiti, Moinak; … - In: Journal of emerging market finance 23 (2024) 4, pp. 495-502
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015159184
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A general theory of tax-smoothing
Karantounias, Anastasios G. - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015159279
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Geopolitical risk hedging or timing : evidence from hedge fund strategies
Ma, Tianyi; Zhou, Xuting - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-12
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135055
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Shedding light on foreign currency cash flow hedges : transparency and the hedging decision
Jin, Han; Marshall, Beverly B. - In: Review of quantitative finance and accounting 63 (2024) 2, pp. 397-432
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135902
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The dynamic connectedness between collateralized loan obligations and major asset classes : a TVP-VAR approach and portfolio hedging strategies for investors
Papathanasiou, Spyros; Kenourgios, Dimitris; … - In: Empirical economics : a quarterly journal of the … 67 (2024) 3, pp. 1063-1089
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015141907
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Downside risk connectedness between Islamic sectors and green bond markets : implications for hedging and investment strategies
Syed Mabruk Billah; Mohammad Enamul Hoque; Balli, Faruk; … - In: Applied economics 56 (2024) 59, pp. 8900-8933
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015141971
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Two algos, one option: impact of new technology on mispricing and hedging strategies
Altmann, Stefan - 2024
This thesis contains three studies on the impact of new technologies on financial markets. The first study investigates in an experiment whether algorithmic trading has an impact on the formation of asset price bubbles. It finds that especially market-maker algorithms lead to traded prices being...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272249
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Cryptocurrency as an alternative inflation hedge?
Smales, L. A. - In: Accounting and finance 64 (2024) 2, pp. 1589-1611
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015164425
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Fund-level FX hedging redux
Bräuer, Leonie; Hau, Harald - 2024
Over the past decade, European investment funds have substantially increased their investment in dollar-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical currency exposures in their international portfolios....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015168533
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014456134
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Taming corporate sector currency mismatches : reflections from a quasi-natural (macroprudential) experiment
Çapacıoğlu, Tanju; Kara, Hakan - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532277
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Volatility spillovers, hedging and safe-havens under pandemics : all that glitters is not gold!
Ghabri, Yosra; Luu Duc Toan Huynh; Nasir, Muhammad Ali - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 1318-1344
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533219
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