Search Results - subject:"hedging ratios"

Hedging Petroleum Futures with Multivariate GARCH Models

Bunnag, Tanattrin - In: International Journal of Energy Economics and Policy 5 (2015) 1, pp. 105-120

natural gas. The results of volatility analysis were used to calculate the optimal two-petroleum portfolio weights and hedging … ratios. The data used in this study was the daily data from 2009 to 2014. The three Multivariate GARCH models, namely the VAR …

Persistent link: https://www.econbiz.de/10011122118

Hedging petroleum futures with multivariate GARCH models

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 105-120

Persistent link: https://www.econbiz.de/10011287161

CROSS-HEDGING COTTONSEED MEAL

Rahman, Shaikh Mahfuzur; Turner, Steven C.; Costa, Ecio … - In: Journal of Agribusiness 19 (2001) 2

This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. A simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship. Using the estimated hedge ratios, the net realized prices are...

Persistent link: https://www.econbiz.de/10005339069

Risk management under a two-factor model of the term structure of interest rates

Moreno, Manuel - Department of Economics and Business, Universitat … - 1997

these measures, we are able to compute the hedging ratios that allows us to immunize a bond portfolio by means of options on …

Persistent link: https://www.econbiz.de/10005572618