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A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios

Lee, Hsiang-tai; Yoder, Jonathan K. - In: Applied economics 39 (2007) 10/12, pp. 1253-1265

Persistent link: https://www.econbiz.de/10003511726

Estimating optimal hedge ratio : a multivariate skew-normal distribution approach

Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636

Persistent link: https://www.econbiz.de/10009009324

Testing for weak-form efficiency of crude palm oil spot and future markets : new evidence from a GARCH unit root test with multiple structural breaks

Hooi Hooi Lean; Smyth, Russell - In: Applied economics 47 (2015) 16/18, pp. 1710-1721

Persistent link: https://www.econbiz.de/10010511983

Efficiency and unbiasedness of corn futures markets : new evidence across the financial crisis

Pederzoli, C.; Torricelli, Costanza - In: Applied financial economics 23 (2013) 22/24, pp. 1853-1863

Persistent link: https://www.econbiz.de/10010337258

Market volatility and the dynamic hedging of multi-commodity price risk

Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903

Persistent link: https://www.econbiz.de/10010345840

Returns to individual traders in agricultural futures markets : skill or luck?

Aulerich, Nicole M.; Irwin, Scott H.; García, Philip - In: Applied economics 45 (2013) 25/27, pp. 3650-3666

Persistent link: https://www.econbiz.de/10010345884

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

Testing the efficiency of the futures market for crude oil in the presence of a structural break

Stevens, Jason; Lamirande, P. de - In: Applied economics 46 (2014) 31/33, pp. 4053-4059

Persistent link: https://www.econbiz.de/10010421854

Non-linear dynamics in futures prices : evidence from the coffee, sugar and cocoa exchange

Adrangi, Bahram; Chatrath, Arjun - In: Applied financial economics 13 (2003) 4, pp. 245-256

Persistent link: https://www.econbiz.de/10001748447

Convenience yield, mean reverting prices, and long memory in the petroleum market

Mazaheri, A. - In: Applied financial economics 9 (1999) 1, pp. 31-50

Persistent link: https://www.econbiz.de/10001363837