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Models with short-term variations and long-term dynamics in risk management of commodity derivatives

Guo, Zi-Yi - 2017 - This version: February 2017

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...

Persistent link: https://www.econbiz.de/10011721302

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

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 …

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

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

Persistent link: https://www.econbiz.de/10013149486

Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …

Persistent link: https://www.econbiz.de/10010528411

Downside risk and the energy hedger's horizon

Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379

Persistent link: https://www.econbiz.de/10009724683

Downside risk and the energy hedger's horizon

Conlon, Thomas; Cotter, John - 2012

Persistent link: https://www.econbiz.de/10009755846

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Variance swaps, non-normality and macroeconomic and financial risks

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270

Persistent link: https://www.econbiz.de/10010467548

Robust portfolio choice with derivative trading under stochastic volatility

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157

Persistent link: https://www.econbiz.de/10011545164

Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets

Tse, Yiuman - In: The financial review : the official publication of the … 51 (2016) 1, pp. 83-111

Persistent link: https://www.econbiz.de/10011436801