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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …
Persistent link: https://www.econbiz.de/10010324426
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …
Persistent link: https://www.econbiz.de/10011302131
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Estimating economic efficiency under risk for agricultural cooperatives
Pokharel, Krishna Prasad; Featherstone, Allen M.; … - In: International journal of food and agricultural … 7 (2019) 2, pp. 77-89
Persistent link: https://www.econbiz.de/10012109906
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A risk map of markups : why we observe mixed behaviors of markups
Kim, Seonghoon; Moon, Seongman - 2014
Persistent link: https://www.econbiz.de/10011287261
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Do market intermeduaries hedge their risk exposure with derivatives? : From evidence UK govt. bond dealers' spot & derivatives positions
Naik, Narayan Y. (contributor); Yadav, Pradeep (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700329
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10013224964
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Idiosyncratic Risk and Cross Section of Hedge Fund Returns
Lee, Dong Woo - 2014
This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …
Persistent link: https://www.econbiz.de/10013062146
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268
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Tail risk transmission : a study of Iran food industry
Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - 2020
Persistent link: https://www.econbiz.de/10012372947