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On the Optimal Hedge Under Unbiased Futures Prices

Citations

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Cited by:

  1. Broll, Udo & Wahl, Jack E., 1995. "Missing risk sharing markets and the benefits of cross hedging in developing countries," Discussion Papers, Series II 284, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  2. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  3. Wong, Kit Pong, 2013. "Fixed versus variable rate loans under state-dependent preferences," Economic Modelling, Elsevier, vol. 31(C), pages 659-663.
  4. Adam-Müller, Axel F. A. & Wong, Kit Pong, 2002. "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Papers 02/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
  5. Jahangir Sultan & Mohammad Hasan, 2008. "The effectiveness of dynamic hedging: evidence from selected European stock index futures," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 469-488.
  6. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
  7. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  8. Lien, Donald & Kwak, Soojong, 2006. "Provisional liquidation of futures hedge programs," Energy Economics, Elsevier, vol. 28(2), pages 266-273, March.
  9. Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 589-603, December.
  10. Battermann, Harald L & Broll, Udo, 2001. "Inflation Risk, Hedging, and Exports," Review of Development Economics, Wiley Blackwell, vol. 5(3), pages 355-362, October.
  11. Piyapas Tharavanij, 2017. "Unbiasedness Hypothesis and Efficiency Test of Thai Stock Index Futures," SAGE Open, , vol. 7(2), pages 21582440177, April.
  12. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," JRFM, MDPI, vol. 4(1), pages 1-29, December.
  13. Broll, Udo & Wahl, Jack E., 1998. "Missing risk sharing markets and the benefits of cross-hedging in developing countries," Journal of Development Economics, Elsevier, vol. 55(1), pages 43-56, February.
  14. Ni, Jian & Chu, Lap Keung & Wu, Feng & Sculli, Domenic & Shi, Yuan, 2012. "A multi-stage financial hedging approach for the procurement of manufacturing materials," European Journal of Operational Research, Elsevier, vol. 221(2), pages 424-431.
  15. Kit Wong, 2014. "Production and hedging in futures markets with multiple delivery specifications," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 413-421, October.
  16. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  17. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, December.
  18. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  19. Moawia Alghalith & Ricardo Lalloob, 2012. "A General Empirical Model of Hedging," JRFM, MDPI, vol. 5(1), pages 1-19, December.
  20. Udo Broll & Peter Welzel & Kit Wong, 2015. "Futures hedging with basis risk and expectation dependence," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 62(3), pages 213-221, September.
  21. Lai, Jing-Yi & Myers, Robert J. & Hanson, Steven D., 2003. "Optimal On-Farm Grain Storage by Risk-Averse Farmers," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(3), pages 1-22, December.
  22. Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005/18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
  23. Rao, Vadhindran K., 2000. "Preference-free optimal hedging using futures," Economics Letters, Elsevier, vol. 66(2), pages 223-228, February.
  24. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
  25. 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".
  26. Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
  27. 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.
  28. Broll, Udo, 1996. "Cross hedging in currency forward markets," Discussion Papers, Series II 308, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
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