-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio … variance show that compared to the state-independent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging …

composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …

draw four major conclusions from the results. First, hedging effectiveness using the new crop yield contract depends … using either of the two alone. Third, hedging using price and crop yield futures has a potential to offer benefits larger …

hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hedging instrument for Omaha cash hogs and cash loins. The strongest evidence of this is for the short-term hedging of cash … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …

study uses survey data, which enables us to differentiate between hedging aimed at translation exposure and transaction … increasing with firm size and exposure and that liquidity constraints are important in explaining transaction exposure hedging …. Importantly, we find that the existence of loan covenants explains translation exposure hedging. This suggests that firms hedge …

provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …