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Do farmers hedge optimally or by habit? : a Bayesian partial-adjustment model of farmer hedging
Dorfman, Jeffrey H.; Karali, Berna - In: Journal of agricultural and applied economics 42 (2010) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10009375852
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …
Persistent link: https://www.econbiz.de/10011313921
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Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets
Billio, Monica - 2015
A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by … different hedging components. Our formulation also provides an avenue to analyze the contribution of the volatility dynamics and … framework with regime-switching models allows the definition of a robust minimum variance hedging strategy to also account for …
Persistent link: https://www.econbiz.de/10013033418
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Segmenting Supply Chain Risk Using E/CTRM Systems : Unifying Theory of Commodity Hedging and Arbitrage
Frankfurter, Michael Mack - 2012
evaluation tools. In doing so, we unify the theory of normal backwardation with theory of storage, macroeconomic general … equilibrium with multiple equilibria and microeconomic agents, basis trading with arbitrage strategies, and the hedging response …
Persistent link: https://www.econbiz.de/10013102576
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Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints
Arias, Joaquín; Brorsen, B. Wade; Harri, Ardian - In: The journal of futures markets 20 (2000) 4, pp. 375-396
Persistent link: https://www.econbiz.de/10001485234
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Statistical modelling of downside risk spillovers
Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012321946
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Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns
Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...
Persistent link: https://www.econbiz.de/10011505836
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Optimal hedging with a subjective view : an empirical Bayesian approach
Shi, Wei; Irwin, Scott H. - In: American journal of agricultural economics 87 (2005) 4, pp. 918-930
Persistent link: https://www.econbiz.de/10003178302
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On dynamic measures of risk
Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482
Persistent link: https://www.econbiz.de/10001412192
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Analyzing Hedging Strategies for Fixed Income Portfolios : A Bayesian Approach for Model Selection
Bessler, Wolfgang - 2016
government bonds had to derive new hedging strategies to deal with changing return properties and higher levels of uncertainty … hedging performance relative to unconditional hedging approaches such as OLS. The aim of this study is to test innovative … hedging strategies for EMU bond portfolios for non-crisis and crisis periods. We analyze single and composite hedges with the …
Persistent link: https://www.econbiz.de/10013006511