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The Time Pattern of Hedging and the Volatility of Futures Prices

Citations

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Cited by:

  1. Sergio H. Lence & Dermot J. Hayes, 1995. "Optimal Hedging Under Forward‐Looking Behaviour," The Economic Record, The Economic Society of Australia, vol. 71(4), pages 329-342, December.
  2. Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
  3. Julyerme M. Tonin & Carlos M. R. Vieira & Rui M. de Sousa Fragoso & João G. Martines Filho, 2020. "Conditional correlation and volatility between spot and futures markets for soybean and corn," Agribusiness, John Wiley & Sons, Ltd., vol. 36(4), pages 707-724, October.
  4. repec:dau:papers:123456789/13631 is not listed on IDEAS
  5. Ren'e Aid & Andrea Cosso & Huy^en Pham, 2020. "Equilibrium price in intraday electricity markets," Papers 2010.09285, arXiv.org.
  6. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
  7. Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
  8. Andersson, H., 1995. "Landlords and farmers: implications of disparities in bargaining power for tenancy in agriculture," Agricultural Economics, Blackwell, vol. 12(2), pages 151-162, August.
  9. Daal, Elton & Farhat, Joseph & Wei, Peihwang P., 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, Elsevier, vol. 15(2), pages 113-128.
  10. 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].
  11. Isleimeyyeh, Mohammad, 2025. "Financial investors and cross-commodity markets integration," Journal of Commodity Markets, Elsevier, vol. 38(C).
  12. Michael S. Haigh, 2005. "Conditional volatility forecasting in a dynamic hedging model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 155-172.
  13. Duong, Huu Nhan & Kalev, Petko S., 2008. "The Samuelson hypothesis in futures markets: An analysis using intraday data," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 489-500, April.
  14. Sigl, Lukas & Hirschauer, Norbert, 2024. "The hedging efficiency of wheat futures in various types of farms in Germany," SocArXiv pvq9t, Center for Open Science.
  15. 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.
  16. Carter, Colin A. & Schaefer, K. Aleks & Scheitrum, Daniel, 2021. "Raising cane: Hedging calamity in Australian sugar," Journal of Commodity Markets, Elsevier, vol. 21(C).
  17. Mohammad Isleimeyyeh, 2020. "The role of financial investors in determining the commodity futures risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1375-1397, September.
  18. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
  19. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 19065, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  20. Elton Daal & Joseph Farhat & Peihwang P. Wei, 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 113-128.
  21. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
  22. repec:dau:papers:123456789/11383 is not listed on IDEAS
  23. Donald Lien & Michael Metz, 2002. "Tax-loss carryforward and futures hedging," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 23(7), pages 417-425.
  24. David J. Pannell & Getu Hailu & Alfons Weersink & Amanda Burt, 2008. "More reasons why farmers have so little interest in futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 39(1), pages 41-50, July.
  25. Nyambane, Gerald G. & Hanson, Steven D. & Myers, Robert J. & Black, J. Roy, 2002. "Dynamic Risk Management Under Credit Constraints," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19072, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  26. Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
  27. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
  28. Jing Ao & Jihui Chen, 2020. "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 627-654, October.
  29. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023. "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, vol. 74(C).
  30. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
  31. repec:isu:genstf:1989010108000010138 is not listed on IDEAS
  32. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, March.
  33. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  34. Aymeric Ricome & Arnaud Reynaud, 2022. "Marketing contract choices in agriculture: The role of price expectation and price risk management," Agricultural Economics, International Association of Agricultural Economists, vol. 53(1), pages 170-186, January.
  35. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
  36. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
  37. Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2019. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Working Papers hal-02417401, HAL.
  38. Perry, Janet E. & Mishra, Ashok K., 1999. "Forward Contracting Of Inputs: A Farm-Level Analysis," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 17(2), pages 1-15.
  39. Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
  40. David Batista Soares & Etienne Borocco, 2022. "Rational destabilization in commodity markets [Déstabilisation rationnelle des marchés de matières premières]," Post-Print hal-03256534, HAL.
  41. Sasha C. Breger Bush, 2010. "The World Bank’s approach to increasing the vulnerability of small coffee producers," Global Development Institute Working Paper Series 11310, GDI, The University of Manchester.
  42. Evans, Kevin J. & Streeter, Deborah H. & Hudson, Michael A., 1992. "An Integrated Approach to Modeling Price Volatility in the Live Cattle Futures Market," Staff Papers 121352, Cornell University, Department of Applied Economics and Management.
  43. Sergio H. Lence & Dermot J. Hayes & Yong Sakong, 1994. "Multiperiod Production with Forward and Option Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(2), pages 286-295.
  44. repec:isu:genstf:198801010800009839 is not listed on IDEAS
  45. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
  46. Lence, Sergio Horacio, 1991. "Dynamic firm behavior under uncertainty," ISU General Staff Papers 1991010108000010656, Iowa State University, Department of Economics.
  47. Streeter, Deborah H. & Tomek, William G., 1989. "Models of the Variability of Futures Prices: Specification and Evaluation," Staff Papers 197571, Cornell University, Department of Applied Economics and Management.
  48. Nakamura, Masao & Nakashima, Tomoaki & Niimura, Takahide, 2006. "Electricity markets volatility: estimates, regularities and risk management applications," Energy Policy, Elsevier, vol. 34(14), pages 1736-1749, September.
  49. Ramaswami, Bharat & Roe, Terry L., 1989. "Incompleteness in Insurance: An Analysis of the Multiplicative Case," Bulletins 7492, University of Minnesota, Economic Development Center.
  50. Fouda, Henri & Kryzanowski, Lawrence & Chau To, Minh, 2001. "Futures market equilibrium with heterogeneity and a spot market at harvest," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 805-824, May.
  51. Bueno, Rodrigo De Losso da Silveira, 2006. "Dynamic Hedging with Stochastic Differential Utility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
  52. Theodore M. Barnhill & James V. Jordan & William E. Seale, 1987. "Maturity And Refunding Effects On Treasury-Bond Futures Price Variance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 121-131, June.
  53. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
  54. Power, Gabriel J. & Turvey, Calum G., 2008. "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37608, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  55. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," JRFM, MDPI, vol. 4(1), pages 1-29, December.
  56. Lioui, Abraham & Poncet, Patrice, 1996. "Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1101-1113.
  57. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
  58. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
  59. Delphine H. Lautier & Franck Raynaud & Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, , vol. 40(3), pages 125-154, May.
  60. Lioui, Abraham & Eldor, Rafael, 1998. "Optimal spreading when spreading is optimal," Journal of Economic Dynamics and Control, Elsevier, vol. 23(2), pages 277-301, September.
  61. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
  62. Berna Karali & Walter N. Thurman, 2009. "Announcement effects and the theory of storage: an empirical study of lumber futures," Agricultural Economics, International Association of Agricultural Economists, vol. 40(4), pages 421-436, July.
  63. Frank Gigler & Chandra Kanodia & Raghu Venugopalan, 2007. "Assessing the Information Content of Mark‐to‐Market Accounting with Mixed Attributes: The Case of Cash Flow Hedges," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 45(2), pages 257-276, May.
  64. Evans, Lewis & Guthrie, Graeme, 2007. "Commodity Price Behavior With Storage Frictions," Working Paper Series 3966, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  65. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
  66. Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022. "Dynamic optimal hedge ratio design when price and production are stochastic with jump," Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
  67. Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422, March.
  68. Jin, Na, 2011. "Three essays on commodity futures and options markets," ISU General Staff Papers 201101010800001428, Iowa State University, Department of Economics.
  69. Stevens, Stanley C., 1990. "Evidence For A Weather Persistence Effect On The Corn, Wheat And Soybean Growing Season Price Dynamics," Staff Papers 13907, University of Minnesota, Department of Applied Economics.
  70. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  71. repec:vuw:vuwscr:19065 is not listed on IDEAS
  72. Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022. "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, vol. 63(2), pages 1109-1134, August.
  73. Phan, Hoàng-Long & Zurbruegg, Ralf & Brockman, Paul & Yu, Chia-Feng (Jeffrey), 2022. "Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information," Journal of Commodity Markets, Elsevier, vol. 26(C).
  74. Michael S. Haigh & Matthew T. Holt, 2002. "Combining time-varying and dynamic multi-period optimal hedging models," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 29(4), pages 471-500, December.
  75. Delphine Lautier & Franck Raynaud, 2014. "Information Flows in the term structure of commodity prices," Post-Print hal-01655842, HAL.
  76. Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
  77. Williams, J., 2013. "Wheat and corn price skewness and volatility: Risk management implications for farmers and end users," Australasian Agribusiness Review, University of Melbourne, Department of Agriculture and Food Systems, vol. 21, pages 1-20.
  78. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.
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