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THE INTERACTION BETWEEN INDEXATION, CONTRACT DURATION AND NON-CONTENGENT WAGE ADJUSTMENT.
CHRISTOFIDES, L.N. - Department of Economics and Finance, College of … - 1989
Persistent link: https://www.econbiz.de/10005729370
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Asymmetric Adjustments in the Ethanol and Grains Markets
Chang, Chia-Lin; Chen, Li-Hsueh; Hammoudeh, Shawkat; … - Department of Economics and Finance, College of … - 2010
) spot show different long-run adjustments, arbitrage profitable opportunities and price risk hedging capabilities. The … potentially hedging the spot prices of agricultural commodities with ethanol futures contracts, which sends an important message … that the ethanol futures market is capable of hedging price risk in agricultural commodity markets. The short …
Persistent link: https://www.econbiz.de/10008765701
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Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2010
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...
Persistent link: https://www.econbiz.de/10008552171
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Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - Department of Economics and Finance, College of … - 2010
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and...
Persistent link: https://www.econbiz.de/10008465229
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Department of Economics and Finance, College of … - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fash-ion and financial market...
Persistent link: https://www.econbiz.de/10010907422
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …
Persistent link: https://www.econbiz.de/10010907433