established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

as statistically significant, volatility reductions from the proposed hedging strategies, compared to existing benchmarks …, without sacrificing returns. As a result, a risk-averse investor is shown to be willing to pay several hundred basis points to …This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign …

investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the … capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to … suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk … Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … to determine and explore portfolio design and hedging implications. The results show that while bidirectional return …