2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects … is a significant negative co-volatility spillover effect between the rate of change in the numbers of Chinese tourists …

The volatility of hog prices is high compared to most agricultural commodities. However, European hog producers do not … markets, producers benefit from a natural moving average product pricing. In addition, asymmetric price risk management is … able to increase the expected utility of risk adverse hog producers. But, if there is a futures contract at the European …

This paper offers an extensive out-of-sample empirical analysis of the problem of hedging a long-term forward exposure … in the corn commodity market by trading in short-term commodity futures contracts. A closed-form pricing formula for the … optimal hedge ratio is a function of, among others, the hedging horizon and the maturity of the traded contracts used as hedge …

rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …Securitization of the rainfall risk involves pooling of the rainfall contingent insurance policies to issue financial … instruments in the capital markets to transfer the rainfall risk from the insurers to the investors. Low income households …

growing need to study agricultural futures since these are the primary instruments of hedging used by farmers and ranchers in … laying off price risk for crops and livestock on the ground. Being the most liquid derivative on farm goods due to usage, the … is the foundation of crop hedging. In addition, by studying basis in agricultural futures, the student develops a greater …

volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …

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 …

best investment strategy for a stock investor is to add both bonds and volatility futures to their portfolio. We also … reveal a long-short cross border statistical arbitrage strategy pairing volatility index futures that can generate profits …

robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further …