Narrow search
Showing 1 - 10 of 42
Cover Image
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
Cover Image
Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012
indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi …
Persistent link: https://www.econbiz.de/10010731768
Cover Image
Asymmetric Adjustment in the Ethanol and Grains Markets
Chang, Chia-Lin; Hammoudeh, Shawkat; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
) 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/10010732603
Cover Image
Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009
. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for … optimal weights in a two-asset portfolio and the hedging ratios for long positions. …
Persistent link: https://www.econbiz.de/10010732605
Cover Image
Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010732633
Cover Image
Asymmetric Adjustments in the Ethanol and Grains Markets
Chang, Chia-Lin; Chen, Li-Hsueh; Hammoudeh, Shawkat; … - Institute of Economic Research, Kyoto University - 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/10008774523
Cover Image
Asymmetric adjustments in the ethanol and grains markets
Chang, Chia-Lin; Chen, Li-Hsueh; Hammoudeh, Shawkat; … - In: Energy Economics 34 (2012) 6, pp. 1990-2002
European (Rotterdam) spot show different long-run adjustments, arbitrage profitable opportunities and price risk hedging … indicates the importance of 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 …
Persistent link: https://www.econbiz.de/10010588011
Cover Image
Risk Management and Financial Derivatives:An Overview
McAleer, Michael; Hammoudeh, Shawkat - Institute of Economic Research, Kyoto University - 2012
indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi …
Persistent link: https://www.econbiz.de/10010543596
Cover Image
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
Balcılar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat; … - Institut de Préparation à l'Administration et à la … - 2014
weights, hedging effectiveness, and dynamic hedging strategies for the MS-DCC-GARCH model based on both the regime dependent … hedging performances for alternative strategies. Our results mainly show significant volatility and time-varying risk …-varying correlations and volatile hedging effectiveness. These results have important investment and policy implications. …
Persistent link: https://www.econbiz.de/10010891082
Cover Image
Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2012
indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi …
Persistent link: https://www.econbiz.de/10010778693