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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …
Persistent link: https://www.econbiz.de/10010324426
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … 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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Variance stochastic orders
Gollier, Christian - 2017
Persistent link: https://www.econbiz.de/10012266355
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Variance stochastic orders
Gollier, Christian - In: Journal of mathematical economics 80 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012105651
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How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Nakamura, Kazuki - In: Finance research letters 58 (2023) 4, pp. 1-5
Persistent link: https://www.econbiz.de/10014633349
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …
Persistent link: https://www.econbiz.de/10011441704
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Market structure and supply chain strategies in the global agricultural commodity industry : a comparison between EU and USA
Camanzi, Luca; Polino, Marzia; Verza, Marta - In: Journal for global business advancement : JGBA 13 (2020) 2, pp. 249-269
Persistent link: https://www.econbiz.de/10012516045
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The microeconomics of agricultural price risk
Boyd, Chris M.; Bellemare, Marc F. - In: Annual review of resource economics 12 (2020), pp. 149-169
Persistent link: https://www.econbiz.de/10012404666
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145