Operational hedging techniques such as risk sharing, currency collars, and a hybrid arrangement can be used when … transactions are subject to unexpected changes in the nominal exchange rate. These hedging devices utilise a risk sharing parameter … threshold risk sharing parameter existed. This paper proposes such a parameter based on a generalized autoregressive …

trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. … predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian …

suggested to analyse market fluctuations in the spot and futures returns and volatility of carbon emissions, crude oil and coal … their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and … volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic …

prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of … trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the CBOT in the … unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives. …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk CoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …