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In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in the degree of co- movement between stock returns in different countries. For this purpose we use a parameter stability test and, following Rigobon (2004), we control for three...
Persistent link: https://www.econbiz.de/10005408168
-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 …
Persistent link: https://www.econbiz.de/10005407995
composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …
Persistent link: https://www.econbiz.de/10005413062
using either of the two alone. Third, hedging using price and crop yield futures has a potential to offer benefits larger …The use of crop yield futures contracts is examined. The expectation being modeled here reflects that of an Illinois … alternatives: 1) a revenue hedge using just price futures, 2) a revenue hedge using crop yield futures, 3) an unhedged scenario …
Persistent link: https://www.econbiz.de/10005413077
hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning …
Persistent link: https://www.econbiz.de/10005413088
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 …
Persistent link: https://www.econbiz.de/10005413167
provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …
Persistent link: https://www.econbiz.de/10005076984
For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that it can be immediately inverted to obtain an...
Persistent link: https://www.econbiz.de/10005077015
). The main paper conclusion is that the hedging widely (up to 10\% of the underlying risk) between the model, specially with …
Persistent link: https://www.econbiz.de/10005561565
hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only strategy. However …The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live …, forecasting and hedging can contribute to price risk management improvement for risk-averse producers. Consistent with previous …
Persistent link: https://www.econbiz.de/10005561582