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Prospect of developing an effective agricultural commodity market in Bangladesh
Habib, Shah Md. Ahsan; Shah, Pinki - In: International journal of economic perspectives : IJEP 5 (2011) 3, pp. 293-302
Persistent link: https://www.econbiz.de/10011587494
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Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016
Persistent link: https://www.econbiz.de/10011778017
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Commodity futures hedge ratios : a meta-analysis
Białkowski, Je̜drzej; Bohl, Martin T.; Perera, Devmali - 2022
Persistent link: https://www.econbiz.de/10013545700
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Comparative analysis of futures contract cross-hedging effectiveness for soybean : models and insights
Erasmus, M. C.; Geyser, J. M. - In: Agrekon 63 (2024) 4, pp. 319-336
Persistent link: https://www.econbiz.de/10015189472
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures … contracts. We conclude that BIST 30 equity futures contracts provide an efficient hedging mechanism for investors aiming to …-TRY futures contracts. Furthermore, the hedging effectiveness of currency futures contracts is negatively affected during the …
Persistent link: https://www.econbiz.de/10012818026
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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
provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … futures. Simpler approaches are also used for comparison purposes like the naïve, OLS and the dynamic multivariate GARCH model …
Persistent link: https://www.econbiz.de/10011555959
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Forecasting Intraday Volatility : Evidence from China Gold Futures Market
Ye, Chuxin; Luo, Xingguo; Xue, Yinsong; Lv, Jiamin - 2023
This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV …
Persistent link: https://www.econbiz.de/10014257516
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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
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Evaluation of commodity market experiences : more than a design issue
Küçükçolak, Necla İlter - In: International journal of economics and financial issues … 9 (2019) 1, pp. 66-78
Persistent link: https://www.econbiz.de/10012149088
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Volatility Forecasting of Non-Ferrous Metal Futures : Covariances, Covariates or Combinations?
Lyocsa, Stefan - 2017
This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based …
Persistent link: https://www.econbiz.de/10012947354