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Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches

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  1. repec:dau:papers:123456789/6808 is not listed on IDEAS
  2. Katelijne A.E. Carbonez & Van Thi Tuong Nguyen & Piet Sercu, 2011. "Hedging with Two Futures Contracts: Simplicity Pays," European Financial Management, European Financial Management Association, vol. 17(5), pages 806-834, November.
  3. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  4. Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, University Library of Munich, Germany.
  5. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  6. Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
  7. Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
  8. Robert F. Engle, 2016. "Dynamic Conditional Beta," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 643-667.
  9. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  10. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
  11. Jian Yang & Titus Awokuse, 2003. "Asset storability and hedging effectiveness in commodity futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 487-491.
  12. Y. K. Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying correlations," Econometrics 0004010, University Library of Munich, Germany.
  13. Amir Alizadeh & Manolis Kavussanos & David Menachof, 2004. "Hedging against bunker price fluctuations using petroleum futures contracts: constant versus time-varying hedge ratios," Applied Economics, Taylor & Francis Journals, vol. 36(12), pages 1337-1353.
  14. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
  15. Aglasan, Serkan & Wu, Shenan & Goodwin, Barry K., 2021. "Cross-hedging with Agricultural Commodities: A Copula-GARCH Approach," 2021 Annual Meeting, August 1-3, Austin, Texas 313960, Agricultural and Applied Economics Association.
  16. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  17. Maria CARACOTA DIMITRIU & Ioana – Diana PAUN, 2012. "Short Term Hedging Using Futures Contracts," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 436-445, December.
  18. Hsiang-Tai Lee & Jonathan Yoder, 2007. "A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios," Applied Economics, Taylor & Francis Journals, vol. 39(10), pages 1253-1265.
  19. Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
  20. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association.
  21. Choudhry, Taufiq, 2009. "Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 58-65, March.
  22. Anton Bekkerman, 2011. "Time‐varying hedge ratios in linked agricultural markets," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 179-200, August.
  23. Chang, Chiao-Yi & Lai, Jing-Yi & Chuang, I-Yuan, 2010. "Futures hedging effectiveness under the segmentation of bear/bull energy markets," Energy Economics, Elsevier, vol. 32(2), pages 442-449, March.
  24. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  25. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
  26. Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
  27. Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
  28. Christos Floros & Dimitrios Vougas, 2004. "Hedge ratios in Greek stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1125-1136.
  29. Moawia Alghalith & Ricardo Lalloob, 2012. "A General Empirical Model of Hedging," JRFM, MDPI, vol. 5(1), pages 1-19, December.
  30. Rozaimah Zainudin & Roselee Shah Shaharudin, 2011. "Multi Mean Garch Approach to Evaluating Hedging Performance in the Crude Palm Oil Futures Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 7(1), pages 111-130.
  31. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  32. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group.
  33. Jose A. Lopez & Christian Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Paper Series 2000-21, Federal Reserve Bank of San Francisco.
  34. Habibeh Sherafatmand & Saeed Yazdani, 2014. "The management of price risk in Iranian dates: An application of futures instruments," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-12, December.
  35. Mark R. Manfredo & Raymond M. Leuthold, 2001. "Market risk and the cattle feeding margin: An application of Value-at-Risk," Agribusiness, John Wiley & Sons, Ltd., vol. 17(3), pages 333-353.
  36. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  37. Alexandridis, George & Sahoo, Satya & Song, Dong-Wook & Visvikis, Ilias, 2018. "Shipping risk management practice revisited: A new portfolio approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 110(C), pages 274-290.
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