This paper evaluates different hedging strategies for copper futures contracts traded at the London Metal Exchange. We estimate dynamic and constant hedge ratio for futures contracts. Various models (Minimum variance hedge ratio, OLS regression model, VAR) are used to estimate constant hedge...

The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in...

The purpose of this paper is to examine the behavior of copper spot prices in London Metal Exchange. Besides, we examine the relation between hedging effectiveness and the maturity of the contract. This research provides an empirical comparison of different econometric techniques in the context...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Purpose: This study aims to shed more light on the relationship between probability of default, investment horizons and rating classes to make decision-making processes more efficient. Design/methodology/approach: Based on credit default swaps (CDS) spreads, a methodology is implemented to...