spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of … investors, policy makers and portfolio managers. The key findings of this study are critical in formulating optimal hedging …

operating flexibility and hedging are substitutes for liquidity management …

sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …

stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

diversification and hedging effectiveness. Although our results are indicative of crude oil hedging strategies, they also testify the …