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Jim Hanly

Personal Details

First Name:Jim
Middle Name:
Last Name:Hanly
Suffix:
RePEc Short-ID:pha690
http://www.jimhanly.com
Room 3024 DIT Aungier Street Dublin 2 Ireland
+35314023180

Affiliation

College of Business
Dublin Institute of Technology

Dublin, Ireland
http://www.dit.ie/colleges/collegeofbusiness/

: + 353 1 402 3040
+ 353 1 402 3290

RePEc:edi:fbditie (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
  2. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
  3. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
  4. John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.
  5. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
  6. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.

Articles

  1. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
  2. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
  3. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  4. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.

    Cited by:

    1. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    2. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
    4. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.

  2. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.

    Cited by:

    1. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    2. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    3. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
    4. Charalampous, Georgios & Madlener, Reinhard, 2013. "Risk Management and Portfolio Optimization for Gas- and Coal-fired Power Plants in Germany: A Multivariate GARCH Approach," FCN Working Papers 23/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    5. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    6. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
    7. Devine, Mel & Farrell, Niall & Lee, William, 2014. "Managing investor and consumer exposure to electricity market price risks through Feed-in Tariff design," MPRA Paper 59208, University Library of Munich, Germany.

  3. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.

    Cited by:

    1. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Papers 1103.5973, arXiv.org.
    3. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
    4. Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
    5. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
    6. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.

  4. John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.

    Cited by:

    1. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 1-37, December.

  5. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.

    Cited by:

    1. 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.
    2. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
    3. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    4. Chuang, Chung-Chu & Wang, Yi-Hsien & Yeh, Tsai-Jung & Chuang, Shuo-Li, 2014. "Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 15-19.

  6. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.

    Cited by:

    1. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
    2. 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].
    3. 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.
    4. 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.
    5. John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
    6. Vera Mirovic & Dejan Zivkov & Jovan Njegic, 2017. "Construction of Commodity Portfolio and Its Hedge Effectiveness Gauging – Revisiting DCC Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(5), pages 396-422, October.
    7. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
    8. 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.
    9. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
    10. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
    11. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    12. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
    13. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
    14. Bernard, Carole & Kwak, Minsuk, 2016. "Semi-static hedging of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 173-186.

Articles

  1. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
    See citations under working paper version above.
  2. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
    See citations under working paper version above.
  3. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
    See citations under working paper version above.
  4. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (10) 2007-06-18 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-02 2011-07-27 2014-03-15. Author is listed
  2. NEP-ENE: Energy Economics (5) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2014-03-15. Author is listed
  3. NEP-UPT: Utility Models & Prospect Theory (5) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2014-03-15. Author is listed
  4. NEP-BEC: Business Economics (2) 2011-04-09 2011-07-27
  5. NEP-FMK: Financial Markets (1) 2007-06-18
  6. NEP-MIC: Microeconomics (1) 2011-04-09

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