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VOLATILITY SPILLOVERS BETWEEN FOREIGN EXCHANGE, COMMODITY AND FREIGHT FUTURES PRICES: IMPLICATIONS FOR HEDGING STRATEGIES
Haigh, Michael S.; Holt, Matthew T. - 1999
In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign...
Persistent link: https://www.econbiz.de/10009443450
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Dahlgran, Roger A. - 2009
Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically … to a second group of data, and examinethe robustness of the hedging strategy by comparing the hedging effectiveness for … out-of-sample hedging effectiveness estimators. Through mathematical andsimulation analysis we determine the following: (a …
Persistent link: https://www.econbiz.de/10009446391
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Teoria dos jogos e seleção de portfólio: uma proposta de adaptação ao modelo minimax e aplicação ao mercado acionário brasileiro
Farias, Christiano Alves; Vieira, Wilson da Cruz; … - 2004
The objective of this paper was to compare and to analyze three portfolio selection models: Mean-Variance, Minimax and Minimax Weighted. These models were evaluated using historical data (September 1999 to August 2000, January 2001 to December 2001 and February 2002 to January 2003) obtained...
Persistent link: https://www.econbiz.de/10009445890
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Stress testing as a tool for simulating the effects of crisis in banks
Wiszniowski, Edward - 2010
Emergence of crisis in financial markets, especially banks, have forced a change in approach to riskmanagement. It has become necessary to develop new or refine existing models of early bankruptcythreat warning, as well as establishing the potential impact of bank failures. One of the tools,...
Persistent link: https://www.econbiz.de/10009443625
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Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis – a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...
Persistent link: https://www.econbiz.de/10009444188
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A magyar mezőgazdaság finanszírozásának főbb elemei a pénzügyi válságban
Kemeny, Gabor - 2010
pedig a mezőgazdasági inputanyag-gyártók, a szállítók.A pénzügyi válság, amely 2008 őszén érte utol Magyarországot … autumn of 2008 and made very different effects on the different channels of agricultural financing. While domestic banks in …
Persistent link: https://www.econbiz.de/10009446970
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Portfolio optimization with risk constraints
Gandy, Ralf - 2005
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
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Parameter estimation error: a cautionary tale in computational finance
Popovic, Ray - 2010
difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation …
Persistent link: https://www.econbiz.de/10009476145
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The efficiency of early warning indicators for financial crises
Rabe, Jens Michael - 2000
The banking and currency crises of the last two decades inflictedsubstantial financial, economic, and social damage on thecountries in which they originated. In this work, the efficiencyof early warning indicators for these disastrous economic eventsis evaluated. An analysis of the traditional...
Persistent link: https://www.econbiz.de/10009471830
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Demand and supply determinants of loan contract terms in small business lending
Kirschenmann, Karolin - 2010
verbessern.Kapitel 5 beschäftigt sich schließlich mit dem Einfluss der jüngsten Finanzkrise auf die Kreditverfügbarkeit für KKMU …
Persistent link: https://www.econbiz.de/10009476202