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...

Investment decisions by agribusiness firms are costly and subject to high volatility and uncertainty. In many cases, the project value is not only determined by its cash-flows stream and financial side effects but also by the presence of substantial future uncertainty such as project...

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...

The aim of this paper is to develop a methodology to estimate the interest rates yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the...

This paper presents the application of a goal programming (GP) model to develop an asset liability management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach our objective, we have...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

This paper is based on the study of Hilscher and Raviv (2014) and Tan and Yang (2015) to investigate the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets'....

Understanding the interrelationships of global macro assets is crucial for the global macro investing. This paper investigates the local variance and the interconnection between stock, gold, oil, forex and implied volatility markets in time-frequency domains using wavelet methodology, including...