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More hedging instruments may destablize markets
Brock, William A.; Hommes, Cars H.; Wagener, Florian … - 2008
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and …
Persistent link: https://www.econbiz.de/10011349702
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Dynamic correlation or tail dependence hedging for portfolio selection
Elkamhi, Redouane; Stefanova, Denitsa - 2011
Persistent link: https://www.econbiz.de/10008907847
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More hedging instruments may destabilize markets
Brock, William A.; Hommes, Cars H.; Wagener, Florian … - 2006
Persistent link: https://www.econbiz.de/10003382994
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Do firms sell forward for strategic reasons? : an application to the wholesale market for natural gas
Eijkel, Remco van; Moraga-González, José Luis - 2010
empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both …. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons.However, if …
Persistent link: https://www.econbiz.de/10011380799
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …
Persistent link: https://www.econbiz.de/10011302131
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On the variation of hedging decisions in daily currency risk management
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the … comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes …
Persistent link: https://www.econbiz.de/10011313920
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …
Persistent link: https://www.econbiz.de/10011313921
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The valuation and hedging of variable rate savings account
Jong, Frank de; Wielhouwer, Jacco L. - 2001
Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...
Persistent link: https://www.econbiz.de/10011318571
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Market liquidity and exposure of hedge funds
Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011
Persistent link: https://www.econbiz.de/10009720730
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Dynamic correlation or tail dependence hedging for portfolio selection
Elkamhia, Redouane; Stefanova, Denitsa - 2010
implications and cannot substitute each other. We alsoisolate the hedging demands due to macroeconomic and market conditions that …
Persistent link: https://www.econbiz.de/10011383108