Search Results - subject:"Optimal hedging"

Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies...

Persistent link: https://www.econbiz.de/10011526124

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011490999

Understanding return and volatility spillovers among major agricultural commodities

Lahiani, Amine; Nguyen, Duc Khuong; Vo, Thierry - Institut de Préparation à l'Administration et à la … - 2014

We provide comprehensive evidence of return and volatility spillovers for the four major agricultural commodi- ties including sugar, wheat, corn and cotton over the recent period 2003-2010. Our results from the recent VAR- GARCH model of Ling and McAleer (2003) that allows for simultaneous shock...

Persistent link: https://www.econbiz.de/10010764019

The Optimal Hedging Ratio for Non-Ferrous Metals

Dinica, Mihai Cristian; Armeanu, Daniel - In: Journal for Economic Forecasting (2014) 1, pp. 105-122

leads to the need for the optimal hedge ratio estimation. Our paper estimates the optimal hedging ratio in the case of the …

Persistent link: https://www.econbiz.de/10010765779

Over the Hedge: Do Exporters Practice Selective Hedging?

Fabling, Richard; Grimes, Arthur - Motu: Economic & Public Policy Research - 2014

What determines exporters’ exchange rate hedging decisions and do exporters attempt to “time the market”? We use a unique unit record longitudinal administrative dataset on firm exports to find the determinants of exporters’ currency hedging choices. Determinants include financial...

Persistent link: https://www.econbiz.de/10010856279

Options delta hedging with no options at all

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The...

Persistent link: https://www.econbiz.de/10010934669

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Persistent link: https://www.econbiz.de/10011082464

Hedging in affine stochastic volatility models

Richard Vierthauer - 2010

criteria: asymptotic exponential utility-based hedging and variance-optimal hedging. We investigate these approaches under the … hedging strategy and the associated utility indifference price for asymptotic utility-based hedging as well as the optimal … approaches we obtain semi-explicit expressions for the objects of interest (i.e. first order approximations of the optimal …

Persistent link: https://www.econbiz.de/10009429018

Using participating and financial contracts to insure catastrophe risk: Implications for crop risk management

Enjolras, Geoffroy; Kast, Robert - 2007

High losses generated by natural catastrophes reduce the availability of insurance. Among the ways to manage risk, the subscriptions of participating and non-participating contracts respectively permit to implement the two major principles in risk allocation: the mutuality and the transfer...

Persistent link: https://www.econbiz.de/10009445042

Optimal hedging in European electricity forward markets

Le Pen, Yannick; Sévi, Yannick - Université Paris-Dauphine (Paris IX) - 2007

This article is concerned with modeling the dynamic and distributional properties of daily spot and forward electricity prices across European wholesale markets. Prices for forward contracts are extracted from a unique database from a major energy trader in Europe. Spot and forward returns are...

Persistent link: https://www.econbiz.de/10010707311