Optimal hedging in the futures market under price uncertainty
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- Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
- Udo Broll & Kit Wong, 2010. "Banking firm and hedging over the business cycle," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(1), pages 29-33, April.
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- Pandey, Ajay, 2008. "Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets," IIMA Working Papers WP2008-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
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"Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach,"
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- Lence, Sergio H., 1995. "On the Optimal Hedge Under Unbiased Futures Prices," Staff General Research Papers Archive 5115, Iowa State University, Department of Economics.
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- Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
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- Rao, Vadhindran K., 2000. "Preference-free optimal hedging using futures," Economics Letters, Elsevier, vol. 66(2), pages 223-228, February.
- Broll, Udo & Wong, Kit-Pong, 1997. "Hedging of exchange rate risk and regression dependence," Discussion Papers, Series II 355, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
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"Relaxing The Assumptions Of Minimum-Variance Hedging,"
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- Lence, Sergio H., 1996. "Relaxing the Assumptions of Minimum-Variance Hedging," Staff General Research Papers Archive 5156, Iowa State University, Department of Economics.
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