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Hedging Effectiveness

Evaluating the hedging effectiveness in crude palm oil futures market during financial crises

Evaluating the hedging effectiveness in crude palm oil futures market during financial crises

... the hedging effectiveness based on the R squared from a simple regression was inappropriate to estimate OHR because the movement of the OHR exhibited time-variant characteristics and correlation between two ...

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The Hedging Effectiveness of Malaysian Crude Palm Oil Futures: An Application of the Extended Mean Gini Model

The Hedging Effectiveness of Malaysian Crude Palm Oil Futures: An Application of the Extended Mean Gini Model

... futures hedging. Therefore, in order to assess the hedging perfor- mance of EMG approach, it is important to convert the existing risk aversion parameter into a common ...the effectiveness of EMG ap- ...

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Samuelson Effect and Hedging Effectiveness in the CSI 300 Index Futures

Samuelson Effect and Hedging Effectiveness in the CSI 300 Index Futures

... the hedging results under both time varying volatility and futures ...the hedging effectiveness and the optimal hedge ra- ...futures hedging for this empirical study. Due to the futures ...

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Hedging Effectiveness under Conditions of Asymmetry

Hedging Effectiveness under Conditions of Asymmetry

... in-sample hedging performance is much better for symmetric distributions suggesting that hedging oil commodity using futures is of limited use during volatile periods where returns may be ...Secondly, ...

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Weather insurance design with optimal hedging effectiveness

Weather insurance design with optimal hedging effectiveness

... The focus of this paper is on designing weather insurance for agricultural risk manage- ment with optimal hedging effectiveness. An expected utility framework is used to model the decision-making behavior ...

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Investor’s Awareness and Perception about Commodity Future Market

Investor’s Awareness and Perception about Commodity Future Market

... 3. Brajesh, Kumar and Pandy, Ajay (2009), “Role of Indian Commodity Derivative Market in Hedging Price Risk: Estimation of Constant and Dynamic Hedge Ratio, and Hedging Effectiveness. Electronic copy ...

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Hedging under square loss

Hedging under square loss

... of hedging effectiveness are real and ...or hedging effectiveness proposed above are fully adequate in the general case under square ...to hedging remains problematic in spite of the ...

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The effectiveness of index futures hedging in emerging markets during the crisis period of 2008 2010: Evidence from South Africa

The effectiveness of index futures hedging in emerging markets during the crisis period of 2008 2010: Evidence from South Africa

... hedge effectiveness of the estimated optimal hedge ...hedge effectiveness of four econometric methods used in the estimation of these ...the effectiveness of these methods will include measures based ...

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Short run derivations and time varying hedge ratios: evidence from agricultural futures markets

Short run derivations and time varying hedge ratios: evidence from agricultural futures markets

... the Engle and Granger (1987) cointegration test. Long-run stationary relationship (cointegration) between the cash price and the futures price has been extensively investigated. 3 Yang et al. (2001) further claim that ...

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Analysis of economic impact of MARPOL Annex IX on different types of ship / s by Konoplev Mikhail Alexandrovich.

Analysis of economic impact of MARPOL Annex IX on different types of ship / s by Konoplev Mikhail Alexandrovich.

... the hedging effectiveness of freight rates, commodity prices and foreign exchange ...the hedging effectiveness and compare their ...effective hedging instrument as the risk reduction of ...

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The influence of educational technology on affective education in maritime education and training (MET)

The influence of educational technology on affective education in maritime education and training (MET)

... the hedging effectiveness of the contract (Silber, 1985; Pennings & Meulenberg, ...the hedging effectiveness of the commodity futures ...on hedging effectiveness of energy ...

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On the effectiveness of natural hedging for insurance companies and pension plans

On the effectiveness of natural hedging for insurance companies and pension plans

... used dependent standard Brownian motions to co-model the Lee-Carter mortality indices of the two populations, in order to find the optimal allocation. However, they took the observed death rates of Taiwan life insurance ...

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Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing

Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing

... last hedging cycle, the third row show the results after the last hedging cycle, and the last row show the parameters for the new option portfolio used to hedge the previous ...

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Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness

Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness

... of the data; rather, they bring the twin benefits of simplification and noise reduction, thereby rendering a clearer perspective on basis risk and hedge effectiveness. In practice, mortality curves—as represented in ...

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Markov functional and stochastic volatility modelling

Markov functional and stochastic volatility modelling

... The different vega profiles of the parametrizations by expiry and by time have a direct consequence for hedging. In Section 3.5, we find that when the driving process is parameterized by time the “total” gamma ...

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Hedge Detection as a Lens on Framing in the GMO Debates: A Position Paper

Hedge Detection as a Lens on Framing in the GMO Debates: A Position Paper

... 1.2 Hedging as a sign of scientific discourse To obtain a computationally manageable character- ization of “scientific discourse”, we turned to stud- ies of the culture and language of science, a body of work ...

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A Study of Volatility Risk

A Study of Volatility Risk

... risk hedging factors, when market volatility risk price is high and for stocks that are positively correlated to these hedging factors, the value of returns is expected to be ...

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Genetic algorithms optimization of hedging rules for operation of the multi-purpose Ubonratana Reservoir in Thailand

Genetic algorithms optimization of hedging rules for operation of the multi-purpose Ubonratana Reservoir in Thailand

... optimised hedging policies based on the existing rule curves at Ubonratana Reservoir in northeastern ...two-stage hedging policies were developed using GA to obtain the decision ...the effectiveness ...

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Financial Risk Hedging Practices and Performance of Firms Listed in Nairobi Securities Exchange (NSE), Kenya.

Financial Risk Hedging Practices and Performance of Firms Listed in Nairobi Securities Exchange (NSE), Kenya.

... rate hedging on firm ...price hedging by American airline companies showed that hedging with relation to oil prices in the airlines industry is positively related to firm value and the hedging ...

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The Impact of Inflation on Stock Market Investment Performance: Evidence from Airlines Automobiles Road Transport and Maritime Sectors Stocks of the Nigerian Stock Exchange

The Impact of Inflation on Stock Market Investment Performance: Evidence from Airlines Automobiles Road Transport and Maritime Sectors Stocks of the Nigerian Stock Exchange

... inflation hedging characteristics of investment ...inflation hedging characteristics of some investment ...short-term hedging characteristics but show a positive correspondence between property ...

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