Search Results - subject:"Hedge ratios"

What is a better cross-hedge for energy : equities or other commodities?

Olson, Eric; Vivian, Andrew; Wohar, Mark E. - In: Global finance journal 42 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012257103

Hedging effectiveness of fertilizer swaps

Maples, William E.; Brorsen, B. Wade; Etienne, Xiaoli Liao - In: Applied economics 51 (2019) 53, pp. 5793-5801

Persistent link: https://www.econbiz.de/10012197280

Volatility transmissions between oil prices and emerging market sectors : implications for portfolio management and hedging strategies

Demiralay, Sercan; Gencer, Hatice Gaye - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 442-447

Persistent link: https://www.econbiz.de/10011286184

Currency hedge – walking on the edge?

Filipozzi, Fabio; Harkmann, Kersti - Eesti Pank - 2014

We study whether it is possible to find optimal hedge ratios for a foreign currency bond portfolio to lower … the optimal hedge ratios found by the DCC-GARCH approach in order to investigate whether time-varying hedging is superior … to the standard constant hedge ratios found by OLS. We find that hedging significantly lowers the portfolio risk in …

Persistent link: https://www.econbiz.de/10010936671

Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies

Demiralay, Sercan; Gencer, Hatice Gaye - In: International Journal of Energy Economics and Policy 4 (2014) 3, pp. 442-447

. Additionally, we compute the optimal holding weights and hedge ratios for the two-asset portfolio consisting of oil and each sector …

Persistent link: https://www.econbiz.de/10010801088

Optimal hedge ratios for clean energy equities

Ahmad, Wasim; Sadorsky, Perry A.; Sharma, Amit - In: Economic modelling 72 (2018), pp. 278-295

Persistent link: https://www.econbiz.de/10012100422

Optimal hedge ratios based on Markov-switching dynamic copula models

Li, Jinzhi - In: Journal of risk 20 (2017/2018) 6, pp. 55-74

Persistent link: https://www.econbiz.de/10011962417

Does gold a safe haven during the crisis period? : explanation by behavioural finance for the GCC and BRIC markets

Ghorbel, Achraf - In: International journal of markets and business systems 3 (2018) 4, pp. 333-361

Persistent link: https://www.econbiz.de/10012038849

The impact of jumps and thin trading on realized hedge ratios

Dungey, Mardi; Henry, Olan T; Hvodzdyk, Lyudmyla - School of Economics and Finance, Tasmanian School of … - 2013

The use of intradaily data to produce daily variance measures has resulted in increased forecast accuracy and better hedging for many markets. However, this paper shows that improved hedging ratios can depend on the behavior of price disruptions in the assets. When spot and future prices for the...

Persistent link: https://www.econbiz.de/10010835576

Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises

Caporin, Massimiliano; Jimenez-Martin, Juan-Angel; … - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Persistent link: https://www.econbiz.de/10011111346