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Does Bitcoin hedge commodity uncertainty?

Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14

This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...

Persistent link: https://www.econbiz.de/10012305145

Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?

Root, Thomas H.; Lien, Da-hsiang Donald - In: International review of financial analysis 12 (2003) 2, pp. 117-133

Persistent link: https://www.econbiz.de/10001769973

Short-run deviations and time-varying hedge ratios : evidence from agricultural futures markets

Choudhry, Taufiq - In: International review of financial analysis 18 (2009) 1/2, pp. 58-65

Persistent link: https://www.econbiz.de/10003850310

A semiparametric estimation of the optimal hedge ratio

Ai, Chunrong; Chatrath, Arjun; Song, Frank M. - In: The quarterly review of economics and finance : journal … 47 (2007) 2, pp. 366-381

Persistent link: https://www.econbiz.de/10003492932

Do the pure martingale and joint normality hypotheses hold for futures contracts? : implications for the optimal hedge ratios

Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 48 (2008) 1, pp. 153-174

Persistent link: https://www.econbiz.de/10003683377

Returns and volatilities of energy futures markets : roles of speculative and hedging sentiments

Chen, Rongda; Wei, Bo; Jin, Chenglu; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012805056

Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft

Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper identifies a model-free non-parametric approach to...

Persistent link: https://www.econbiz.de/10012626875

Natural gas price, market fundamentals and hedging effectiveness

Song Zan Chiou Wei; Chen, Sheng-Hung; Zhu, Zhen - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 321-337

Persistent link: https://www.econbiz.de/10012431299

They're back! Post-financialization diversification benefits of commodities

Gagnon, Marie-Hélène; Manseau, Guillaume; Power, … - In: International review of financial analysis 71 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012436269

Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?

Lv, Fei; Yang, Chen; Fang, Libing - In: International review of financial analysis 71 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012436466