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Minimum Variance Hedging: Levels versus first Difference

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  • Prehn, Sören

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  • Prehn, Sören, 2020. "Minimum Variance Hedging: Levels versus first Difference," 60th Annual Conference, Halle/ Saale, Germany, September 23-25, 2020 305608, German Association of Agricultural Economists (GEWISOLA).
    • Handle: RePEc:ags:gewi20:305608
    DOI: 10.22004/ag.econ.305608
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    References listed on IDEAS

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    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Ronald I. McKinnon, 1967. "Futures Markets, Buffer Stocks, and Income Stability for Primary Producers," Journal of Political Economy, University of Chicago Press, vol. 75(6), pages 844-844.
    3. Heifner, Richard G., 1972. "Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 24(2), pages 1-14, April.
    4. B. Wade Brorsen & Darren W. Buck & Stephen R. Koontz, 1998. "Hedging hard red winter wheat: Kansas City versus Chicago," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(4), pages 449-466, June.
    5. Stewart L. Brown, 1986. "A Reformulation of the Portfolio Model of Hedging: Reply," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(4), pages 1010-1012.
    6. Timothy Park & Frances Antonovitz, 1990. "Basis risk and optimal decision making for California feedlots," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(3), pages 259-271, June.
    7. Gray, Roger W., 1960. "The Characteristic Bias in Some Thin Futures Markets," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 1(3), pages 1-17.
    8. Leland L. Johnson, 1957. "Price Instability, Hedging, and Trade Volume in the Coffee Futures Market," Journal of Political Economy, University of Chicago Press, vol. 65(4), pages 306-306.
    9. Brinker, Adam J. & Parcell, Joseph L. & Dhuyvetter, Kevin C. & Franken, Jason R.V., 2009. "Cross-Hedging Distillers Dried Grains Using Corn and Soybean Meal Futures Contracts," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 27(1-2), pages 1-15.
    10. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    11. Anne E. Peck, 1975. "Hedging and Income Stability: Concepts, Implications, and an Example," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(3), pages 410-419.
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