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Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011441704

Fast and Realistic European ARCH Option Pricing and Hedging

Zumbach, Gilles O.; Fernandez, Luis - 2011

comparison shows that the cost of hedging and the replication risk premium have contributions to the implied volatility smile …

Persistent link: https://www.econbiz.de/10014177447

Asymmetric Effect of Basis on Dynamic Futures Hedging : Empirical Evidence from Commodity Markets

Lien, Donald D.; Yang, Li - 2008

asymmetric effect when modeling joint dynamics of spot and futures returns and hence estimating hedging strategies …

Persistent link: https://www.econbiz.de/10014026365

The Effect of Structural Breaks and Long Memory on Currency Hedging

Lien, Donald D. - 2010

Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this paper, we investigate the effects of such breaks on estimated...

Persistent link: https://www.econbiz.de/10013150780

Role of Indian Commodity Derivatives Market in Hedging Price Risk : Estimation of Constant and Dynamic Hedge Ratio and Hedging Effectiveness

Kumar, Brajesh - 2010

This paper examines hedging effectiveness of four agricultural (Soybean, Corn, Castor seed and Guar seed) and seven non … provide higher hedging effectiveness (30-70%) as compared to non-agricultural futures (20%). In the more recent period, the … hedging effectiveness of Indian futures markets has increased. When hedging effectiveness of non-agricultural Indian futures …

Persistent link: https://www.econbiz.de/10013151398

The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio

Carpantier, J. F. - 2013

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper … effect in commodity hedging strategies …

Persistent link: https://www.econbiz.de/10013080924

Standard Deviation or Variance : The Better Proxy for Large Hedgers and Large Speculators Risk in U.S. Futures Markets

Gurrib, Ikhlaas - 2013

Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater reliance on the ARCH term for speculators' suggested their...

Persistent link: https://www.econbiz.de/10013073757

Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk

Lehrbass, Frank - 2014

stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

Persistent link: https://www.econbiz.de/10013061102

Hedging Effectiveness of Constant and Time Varying Hedge Ratio of the Copper in the London Metal Exchange

Boutouria, Souha - 2011

This paper evaluates different hedging strategies for copper futures contracts traded at the London Metal Exchange. We ….This research provides an empirical comparison of different econometric technique in the context of hedging the market risk of … provide highest variance reduction. Besides, we examine the relation between hedging effectiveness and the maturity of the …

Persistent link: https://www.econbiz.de/10013125674

The effects of structural breaks and long memory on currency hedging

Lien, Da-hsiang Donald; Li, Yang - In: The journal of futures markets 30 (2010) 7, pp. 607-632

Persistent link: https://www.econbiz.de/10003985029