Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
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DOI: 10.1007/s11147-018-9142-1
Abstract: Modeling the joint distribution of spot and futures returns is crucial for establishing optimal hedging strategies. This paper proposes a new class of dynamic copula-GARCH models that exploits information from high-frequency data for hedge ratio… read more here.
Keywords: high frequency; frequency data; model; garch ... See more keywords
Why Do Firms Engage in Selective Hedging? Evidence from the Gold Mining Industry
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DOI: 10.1016/j.jbankfin.2015.05.006
Abstract: The widespread practice of managers speculating by incorporating their market views into firms’ hedging programs (“selective hedging”) remains a puzzle. Using a 10-year sample of North American gold mining firms, we find no evidence that… read more here.
Keywords: hedging; selective hedging; gold mining; evidence ... See more keywords
Assessing the effectiveness of local and global quadratic hedging under GARCH models
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DOI: 10.1080/14697688.2017.1279342
Abstract: Local and global quadratic hedging are alternatives to delta hedging that more appropriately address the hedging problem in incomplete markets. The objective of this article is to investigate and contrast the effectiveness of these strategies… read more here.
Keywords: assessing effectiveness; global quadratic; quadratic hedging; hedging ... See more keywords
Hedging positions in US wheat markets: a disaggregated data analysis
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DOI: 10.1108/sef-08-2019-0329
Abstract: This study aims to spot wheat data and disaggregated commitment of trader data for CME traded wheat futures to examine the effect of exogenous shocks for hedging positions of Producers and Swap Dealers on cash-futures… read more here.
Keywords: methodology; basis; hedging positions; positions wheat ... See more keywords