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Commodity index trading and hedging costs
Brunetti, Celso; Reiffen, David A. - 2011
Persistent link: https://www.econbiz.de/10009406419
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Humps in the volatility structure of the crude oil futures market
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - 2012
Persistent link: https://www.econbiz.de/10009564452
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Production and hedging decisions in the presence of basis risk : note
Alghalith, Moawia - 2003
Persistent link: https://www.econbiz.de/10001740383
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The Use of Copulas in Hedging Oil and Market Price Risk for US Oil and Gas Investors : Empirical Investigation
Liu, Jingzhen - 2017
market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a … hedging strategy by minimizing the conditional Value-at-Risk of the hedged portfolios composed with sub-sector index and … futures contract after estimating the time-varying parameters of copulas. We compare the hedging effectiveness of this …
Persistent link: https://www.econbiz.de/10012951539
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … properties under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies using optimal hedge ratios will be …
Persistent link: https://www.econbiz.de/10011658757
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Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities
Kočenda, Evžen; Moravcova, Michala - 2022
We analyze volatility connectedness, frequency decomposition, and portfolio hedging among U.S. energy commodities from …-periods. Finally, adding natural gas into an energy portfolio brings diversification benefits due to the lowest hedging costs, although …
Persistent link: https://www.econbiz.de/10013492108
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Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities
Kočenda, Evžen; Moravcova, Michala - 2023
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show … benefits due to the lowest hedging costs …
Persistent link: https://www.econbiz.de/10014353647
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show …
Persistent link: https://www.econbiz.de/10014456134
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - In: Research in international business and finance 69 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10015052535
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U.S. Shrimp Market Integration
Asche, Frank - 2011
Recent supply shocks in the Gulf of Mexico - including hurricanes, the Deepwater Horizon oil spill, and the seasonal appearance of a large dead zone of low oxygen water (hypoxia) - have raised concerns about the economic viability of the U.S. shrimp fishery. The ability for U.S. shrimpers to...
Persistent link: https://www.econbiz.de/10013118861