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The Dynamic Hedging Effectiveness for Soybean Farmers of Mato Grosso with Futures Contracts of BM&F

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Listed:
  • Souza, Waldemar Antonio da Rocha
  • Caldarelli, Carlos Eduardo
  • Rocha, Clei Machado
  • Martines-Filho, Joao Gomes

Abstract

Paper presented in the VII PENSA CONFERENCE, November/2009, FEA/USP, São Paulo, Brazil.

Suggested Citation

  • Souza, Waldemar Antonio da Rocha & Caldarelli, Carlos Eduardo & Rocha, Clei Machado & Martines-Filho, Joao Gomes, 2009. "The Dynamic Hedging Effectiveness for Soybean Farmers of Mato Grosso with Futures Contracts of BM&F," Miscellaneous Papers 54990, Agecon Search.
  • Handle: RePEc:ags:miscpa:54990
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    References listed on IDEAS

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    1. Wenling Yang & David E. Allen, 2005. "Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 301-321.
    2. Peter S. Sephton, 1993. "Optimal Hedge Ratios at the Winnipeg Commodity Exchange," Canadian Journal of Economics, Canadian Economics Association, vol. 26(1), pages 175-193, February.
    3. Carter, Colin A., 1999. "Commodity futures markets: a survey," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 43(2).
    4. Lence, Sergio H., 1996. "Relaxing The Assumptions Of Minimum-Variance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(01), July.
    5. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
    6. 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.
    7. Chris Brooks & Olan T. Henry & Gita Persand, 2002. "The Effect of Asymmetries on Optimal Hedge Ratios," The Journal of Business, University of Chicago Press, vol. 75(2), pages 333-352, April.
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    Keywords

    Dynamic hedge; effectiveness; soybeans; Mato Grosso; Agribusiness; Marketing;

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