Search Results - subject_exact:"Rohstoff-Hedging"

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618440

Risk structure and financial hedging in nodal electricity markets

Yang, Daniel - 2026

Since the deregulation of electricity markets in the 1990s, U.S. power grids have witnessed the creation of an increasingly diverse suite of financial instruments designed to mitigate risks caused by underlying generation and consumption patterns. However, the nature of risks is shifting rapidly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562770

The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613599

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The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2023

Book / Working Paper

The impact of financial derivatives on European Bank value and performance

Al-Own, Bassam; Al Shbail, Mohannad Obeid; Jaradat, Zaid; … - 2026

Using a panel dataset of 385 European bank-year observations covering the 2012 to 2022 period, this study aimed to investigate the impact of derivatives on bank value and performance. We used bank-level panel data and conducted several multivariate statistical analyses, i.e., ordinary least...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615248

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

Forecasting and managing price volatility in salmon production : a hybrid system using conformal prediction and dynamic hedging

Luna, Manuel; Pérez-Mon, Olaya; Becker, João Luiz - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604682

Designing hedging instruments for locational price risks : lessons from North American Financial Transmission Rights

Stolle, Leon; Boeschemeier, Jonas; Hobbs, Benjamin Field; … - 2026

Locational marginal pricing (LMP) provides efficient locational dispatch and investment signals but requires a complementary congestion hedging instrument to function effectively. This paper investigates how exposure to locational price differences is managed in North American nodal electricity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015607680

The theory of storage in a power system with stochastic demand

Biggar, Darryl; Hesamzadeh, Mohammad Reza - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620550

Hedging against inflation : international evidence on investor clientele effects

Boermans, Martijn; Swinkels, Laurens - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638014

Diversifier, hedge, or safe haven? : Bitcoin's role against the Brazilian stock market during the COVID-19 turmoil

Dias, Vitor Fonseca Machado Beling; Malaquias, Rodrigo … - 2026

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638920

Impact of climate risk on clean water investments : does crude oil act as a hedge?

Bhuiyan, Mohammad Rakib Uddin; Dutta, Anupam; Ahmed, Ali M. - 2026

Water investments play an increasingly important role in sustainable finance, yet their response to climate policy uncertainty (CPU) under different market conditions remains poorly understood. This study examines the regime-dependent influence of CPU on water equity performance using monthly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639581

Can precious metals act as safe-haven or hedge assets in capital markets of China?

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639868

Geopolitical risk in financial markets : an analysis of commodity hedging and stock returns in Europe

Bertelli, Beatrice; Torricelli, Costanza - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640483

The relevance of expected shortfall models in different time window sizes

Fukui, Marcelo; Basso, Leonardo Fernando Cruz - 2026

Risk management has become increasingly important in the financial world. Considering its importance, it is necessary to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES). After the subprime crisis, the market began to emphasize ES...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643139

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632820

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On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2025 - This version: October 7, 2025

Edition: This version: October 7, 2025

Book / Working Paper

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2025

Book / Working Paper

A note on currency hedging of dollar investments of Swiss investors 1974-2025

Kugler, Peter - 2026

Our econometric (cointegration) analysis of the Swiss franc US dollar exchange rates over the period 1974 - 2025 provides strong evidence for a negative bias of the forward rate as predictor of the spot rate for the years up to 2007, which disappears with data from 2008 onwards. This implies...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635688

Short vs medium-run: exchange rate movements, investment and the currency composition of balance sheets

Camilo Medellín, Juan; Restrepo-Ángel, Sergio - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665390

ESG-proxy shocks and cryptocurrency returns : reduced-form evidence for green-tilted versus conventional crypto baskets

Feidi, Amira - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665417

Comparative analysis of derivatives usage patterns among Fortune 500 companies during the market volatility periods

Bansal, Vibhum; Sharma, Preeti - 2026

This study examines the derivatives usage patterns among Fortune 500 companies during the 2020-2024 period, characterized by unprecedented market volatility. The objective is to investigate how derivative strategies evolved in response to the COVID-19 pandemic, subsequent inflation surge and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015670036

"What's the worst that could happen?" : perceptions of physical, financial, reputational, and policy risk in the United Kingdom's low-carbon industrial transition

Hudson, Marc; Sovacool, Benjamin K.; AbdulRafiu, Abbas - 2026

Rapid decarbonisation of not only energy systems but also industrial systems has become an urgent technical and policy priority. However, national pace is often slow, for many reasons, including the obduracy of large technical systems, uncertainty, and resistance from incumbents. The required...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015672072

Probability pricing

Dávila, Eduardo; Parlatore, Cecilia; Walther, Ansgar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616771

Dynamic interconnectedness and portfolio strategies in green finance : evidence from clean energy, ESG, and smart infrastructure

Naifar, Nader - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618384

On the determinants of derivatives disclosure : an emerging markets perspective

Toerien, Franz Eduard; Hall, John; Brümmer, L. M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015546847

Climate risk, policy, and insurance : a forecast-based model for weather index design in vulnerable economies

Abrego-Perez, Adriana L.; Nuñez-Mora, José A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654319

Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients

Davar, Parisa; Godin, Frédéric; Garrido, José - 2025

This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the scarcity of observations in the far tail of the distribution...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654808

The hedging channel of exchange rate determination

Liao, Gordon Y.; Zhang, Tony - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371011

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The hedging channel of exchange rate determination

Liao, Gordon; Zhang, Tony - 2020 - This draft: May 2020

Edition: This draft: May 2020

Book / Working Paper

The Hedging Channel of Exchange Rate Determination

Liao, Gordon; Zhang, Tony - 2022

Book / Working Paper

The Hedging Channel of Exchange Rate Determination

Liao, Gordon - 2020

Book / Working Paper

Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19

Han, SeungOh - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374372

Does FX hedge mitigate the impact of exchange rate changes on credit risk? : evidence from a small open economy

Skufi, Lorena; Gersl, Adam - 2025

This study investigates the impact of exchange rate fluctuations on non-performing loans (NPLs), using a unique bank-by-bank dataset on lending to FX hedged and FX unhedged borrowers. Employing fixed effects and panel quantile regression, we analyze how changes in exchange rate affect the NPL...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272046

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272995

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The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330343

On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends

Babaei, Esmaeil - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331075

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2025

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333614

Event-driven changes in return connectedness among cryptocurrencies

Albrecht, Peter; Kočenda, Evžen - 2025

Our study presents an in-depth analysis of the interconnectedness in returns among five major cryptocurrencies from 2018 to 2023. Our work introduces novel findings by employing a novel bootstrap-after-bootstrap method of Greenwood-Nimmo et al. (2024) to establish a link between increases in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191778

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Event-driven changes in return connectedness among cryptocurrencies

Albrecht, Peter; Kočenda, Evžen - 2025

Book / Working Paper

Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330188

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Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Book / Working Paper

Bank credit risk and sovereign debt exposure : moral hazard or hedging?

Baselga-Pascual, Laura; Loban, Lidia; Myllymäki, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198361

Hedge accounting and firms' future investment spending

Kreß, Andreas; Eierle, Brigitte; Hartlieb, Sven; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198583

Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments

Pedini, Luca; Severini, Sabrina - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199632

Unveiling the crypto-green nexus : a risk management and investment strategy approach through the lens of NFTs, DeFis, green cryptocurrencies, and green investments

Patel, Ritesh; Kumar, Sanjeev; Agnihotri, Shalini - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359776

Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic

Mishra, Aswini Kumar; Kamesh Anand K; Kappagantula, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359803

What drives robo-advice?

Scherer, Bernd; Lehner, Sebastian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329721

Polynomial approximation of discounted moments

Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394774

Risk hedging : how geopolitical risks affect enterprises' overseas merger and acquisition?

Zhang, Heting; Tian, Lin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463551

Tail risk hedging : the superiority of the naïve hedging strategy

Cao, Min; Conlon, Thomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464872

Show one more version 1

Tail risk hedging : the superiority of the naïve hedging strategy

Cao, Min; Conlon, Thomas - 2025

Book / Working Paper

Patent portfolios and uncertainty

Neururer, Thaddeus; Wang, Li; Zheng, Yuxiang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464896

Water shortage and mitigation solutions : a focus on new physical and financial hedging tools

Bartolini, Nicola; Romagnoli, Silvia; Santini, Amia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464899

Volatility risk and volatility-of-volatility risk : state-dependent correlations between vix and the S&P 500 stock index and hedging effectiveness

Li, Leon; Chen, Carl R. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465763

Estimating background risk hedging demands from cross-sectional data

Brugler, James; Inkmann, Joachim; Rizzo, Adrian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015468092

Investor trends during periods of geopolitical risk in Türkiye : which assets serve as safe havens?

Yıldırım, Durmuş; Eren, Mirac; Dogan, Mesut - 2025

This study investigates the safe-haven properties of different asset classes during periods of geopolitical risk in Türkiye and examines their comovement with the Geopolitical Risk Index. The research covers the period from January 2010 to January 2023 and employs wavelet coherence analysis and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472083

Hedges of the Second Republic : firms, equity investors and political uncertainty in a nascent democracy : 1930-1936

Battilossi, Stefano; Houpt, Stefan O. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015449998

Antimonotonicity for preference axioms : the natural counterpart to comonotonicity

Principi, Giulio; Wakker, Peter P.; Wang, Ruodu - 2025

Comonotonicity (''same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (''opposite variation''; abbreviated ''AC''), the natural counterpart to comonotonicity....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455276