agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The … market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co-volatility … with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH …This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging …, British and US assets. We analyze the impact of the model specification to improve the risk-return tradeoff when currency risk …

-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 of global financial markets and the volatility experienced during … role of global assets. Drawing on methods like VaR and CVaR tail risk estimators, the DCC-GJR-GARCH time …

as statistically significant, volatility reductions from the proposed hedging strategies, compared to existing benchmarks …, without sacrificing returns. As a result, a risk-averse investor is shown to be willing to pay several hundred basis points to …This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign …

investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the … capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to … suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …