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 …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of … volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … the usual downside deviation. The crash volatility can be fed into a typical mean-variance optimizer, allowing the …

volatility control strategies and volatility target approaches to investment have gained a lot of interest as strategies able to … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and … target volatility approach, into a multiperiod portfolio optimization model, through the introduction of a local volatility …