If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … only works if the stock and commodity price are cointegrated. To set the stage I subsume various models for optimal hedging …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …