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  • Search: subject:"Hedge ratio"
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Year of publication
Subject
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Hedging 158 Hedge ratio 58 ARCH-Modell 56 ARCH model 55 Volatility 53 Volatilität 50 Estimation 48 Schätzung 48 Derivat 46 Derivative 46 Portfolio selection 45 Portfolio-Management 45 Theorie 45 Theory 45 hedge ratio 43 optimal hedge ratio 32 Commodity derivative 29 Index futures 29 Rohstoffderivat 29 Index-Futures 28 Optimal hedge ratio 26 Hedging effectiveness 23 Capital income 21 Kapitaleinkommen 21 Aktienmarkt 17 Stock market 17 hedging effectiveness 16 Futures 15 GARCH 15 Hedge Ratio 15 Optimal Hedge Ratio 14 Commodity exchange 13 Warenbörse 13 Multivariate Verteilung 12 Multivariate distribution 12 Oil price 12 Risk management 12 Ölpreis 12 Cointegration 11 Kointegration 11
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Online availability
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Undetermined 111 Free 84
Type of publication
All
Article 190 Book / Working Paper 51 Other 1
Type of publication (narrower categories)
All
Article in journal 135 Aufsatz in Zeitschrift 135 Working Paper 11 Article 9 Arbeitspapier 8 Graue Literatur 8 Non-commercial literature 8 Aufsatz im Buch 5 Book section 5 Conference paper 1 Konferenzbeitrag 1 research-article 1
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Language
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English 171 Undetermined 68 German 2 Portuguese 1
Author
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Lai, Yu-Sheng 6 Leistikow, Dean 6 Chang, Chia-Lin 5 Lin, Fu-Lai 5 Roca, Eduardo 5 Bos, Charles S. 4 Chen, Ren-Raw 4 Gould, Phillip 4 Lee, Cheng F. 4 Pan, Zhiyuan 4 Shrestha, Keshab 4 Akhtaruzzaman, Md. 3 Alghalith, Moawia 3 Bessler, Wolfgang 3 Billio, Monica 3 Casarin, Roberto 3 Choudhry, Taufiq 3 Fakhfekh, Mohamed 3 Fan, John Hua 3 Ghorbel, Ahmed 3 González-Serrano, Lydia 3 Hatemi-J, Abdulnasser 3 Jimenez-Martin, Juan Angel Jimenez Martin 3 Jose, Babu 3 Kahyaoglu, Sezer Bozkus 3 Lee, Cheng-Few 3 Lee, Hsiang-Tai 3 Madaleno, Mara 3 McAleer, Michael 3 Ngo Thai Hung 3 Osuntuyi, Anthony 3 Pazarlioglu, M. Vedat 3 Pinho, Carlos 3 Tansuchat, Roengchai 3 Tzeng, Larry Y. 3 Wang, Zhigang 3 Wolff, Dominik 3 Xu, Pei 3 Zhang, Yuanyuan 3 Zheng, Shi 3
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Institution
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International Monetary Fund (IMF) 6 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Agricultural and Applied Economics Association - AAEA 3 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 3 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2 Department of Accounting, Finance and Economics, Griffith Business School 2 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 2 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 2 Australian Agricultural and Resource Economics Society - AARES 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, Faculty of Business and Economics 1 Dipartimento di Economia, Università Ca' Foscari Venezia 1 EconWPA 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Fakultät Wirtschaftswissenschaften, Technische Universität Bergakademie Freiberg 1 Indira Gandhi Institute of Development Research (IGIDR) 1 Institute of Economic Research, Kyoto University 1 Society for Computational Economics - SCE 1 Tinbergen Institute 1 Tinbergen Instituut 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
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Finance research letters 13 Energy economics 11 International review of financial analysis 5 The journal of futures markets 5 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2 4 IMF Working Papers 4 International review of economics & finance : IREF 4 Journal of Risk and Financial Management 4 MPRA Paper 4 The empirical economics letters : a monthly international journal of economics 4 Applied economics 3 BIFEC Book of Abstracts & Proceedings 3 Documentos de Trabajo del ICAE 3 Economic modelling 3 Journal of commodity markets 3 Journal of risk and financial management : JRFM 3 Pacific-Basin finance journal 3 The European journal of finance 3 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 2 Accounting, Finance, Financial Planning and Insurance Series 2 Asia Pacific financial markets 2 China Agricultural Economic Review 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Discussion Papers in Finance 2 Economics Bulletin 2 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 2 IIMB management review 2 International Journal of Banking, Accounting and Finance 2 Journal of agricultural and applied economics : JAEE 2 Journal of banking & finance 2 Journal of international financial markets, institutions & money 2 Macroeconomics and finance in emerging market economies 2 Mathematics and Computers in Simulation (MATCOM) 2 Paradigm : the journal of Institute of Management Technology 2 Review of Pacific Basin Financial Markets and Policies (RPBFMP) 2 The European Journal of Finance 2 The journal of asset management : a major new, international quarterly journal for the financial community 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Theoretical economics letters 2
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Source
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ECONIS (ZBW) 148 RePEc 77 EconStor 12 BASE 4 Other ZBW resources 1
Showing 1 - 10 of 242
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Hedge ratios : theory and applications
Chen, Sheng-syan; Lee, Cheng F.; Lin, Fu-Lai; Shrestha, … - 2024
Persistent link: https://www.econbiz.de/10015046797
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Dynamic conditional bias-adjusted carry cost rate futures hedge ratios
Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-17
-biased carry cost rate hedge ratio, where each is augmented in a different bias-mitigating way. The carry cost rate hedge ratio …
Persistent link: https://www.econbiz.de/10013201316
Saved in:
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Dynamic conditional bias-adjusted carry cost rate futures hedge ratios
Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
-biased carry cost rate hedge ratio, where each is augmented in a different bias-mitigating way. The carry cost rate hedge ratio …
Persistent link: https://www.econbiz.de/10012813322
Saved in:
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Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times : an Archimax copula approach
Fakhfekh, Mohamed; Bejaoui, Azza; Bariviera, Aurelio … - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014492041
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Hedging precious metals with impact investing
Akhtaruzzaman, Md.; Banerjee, Ameet Kumar; Le, Van; … - In: International review of economics & finance : IREF 89 (2024) 1, pp. 651-664
Persistent link: https://www.econbiz.de/10014446512
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Sustainable and responsible investment dynamic cross-asset portfolio
Robiyanto, Robiyanto; Huruta, Andrian Dolfriandra; … - In: Cogent Business & Management 10 (2023) 1, pp. 1-14
Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...
Persistent link: https://www.econbiz.de/10014527774
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A comparative analysis of hedging determination for three alternative international equity index futures
Lin, Fu-Lai - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014305177
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Sustainable and responsible investment dynamic cross-asset portfolio
Robiyanto, Robiyanto; Huruta, Andrian Dolfriandra; … - In: Cogent business & management 10 (2023) 1, pp. 1-14
Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...
Persistent link: https://www.econbiz.de/10014466665
Saved in:
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
—a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model—are compared with a minimum variance hedge … ratio framework. The periods before and after the merger of the Turkish Derivatives Exchange are analyzed with the models to …
Persistent link: https://www.econbiz.de/10012818026
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Commodity futures hedge ratios : a meta-analysis
Białkowski, Je̜drzej; Bohl, Martin T.; Perera, Devmali - 2022
Persistent link: https://www.econbiz.de/10013545700
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