Price risk is an important factor for both copper purchasers who use the commodity as a major input in their production process and copper refiners who must deal with cash-flow volatility. We use information from NYMEX cash and futures prices to examine optimal hedging behaviour for agents in...

This paper proposes a new class of GARCH-jump in mean models to test the presence of time varying risk premia associated with normal and extreme news events. The model allows for a dynamic jump component with autoregressive jump intensity, long-range dependence in volatility dynamics, and...

We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...

A dynamic hedging strategy based on a bivariate GARCH-jump model augmented with autoregressive jump intensity is proposed to manage currency risk. The GARCH-jump model, capable of capturing volatility clustering and leptokurtosis, provides a comprehensive description of the joint dynamics of the...

Two issues are addressed in this paper. First, we explore the issue of price index invariance in the linearized Almost Ideal Demand system. We establish that the Stone index, which lacks invariance, and the recently proposed invariant Laspeyres, Paasche and Tornqvist indices all generate biased...

This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure,...

This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are...

Efficiency scores are determined for Canadian universities using both data envelopment analysis and stochastic frontier methods for selected specifications. The outcomes are compared. There is considerable divergence in the efficiency scores and their rankings among methods and specifications....

This paper derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk. We find...