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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …
Persistent link: https://www.econbiz.de/10012022157
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9
assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are …
Persistent link: https://www.econbiz.de/10012022209
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324
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Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: Energy economics 33 (2011) 5, pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...
Persistent link: https://www.econbiz.de/10011441704
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Precious metals-exchange rate volatility transmissions and hedging strategies
Hammoudeh, Shawkat; Yuan, Yuan; McAleer, Michael; … - 2009
Persistent link: https://www.econbiz.de/10003910288
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Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat; Yuan, Yuan; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008689068
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Asymmetric adjustments in the ethanol and grains markets
Chang, Chia-Lin; Chen, Li-Hsueh; Hammoudeh, Shawkat; … - 2010
) spot show different longrun 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/10008840782