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Hedging and value at risk

Citations

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Cited by:

  1. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
  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. Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
  4. Yuting Gong & Xueqin Wang & Mo Zhu & Ying‐En Ge & Wenming Shi, 2023. "Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 69-89, January.
  5. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
  6. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
  7. Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
  8. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
  9. Capitani, Daniel H.D. & Mattos, Fabio, 2015. "Feasibility of new agricultural futures contract: a study in the Brazilian rice market," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205565, Agricultural and Applied Economics Association.
  10. 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.
  11. Huang, Jinbo & Ding, Ashley & Li, Yong & Lu, Dong, 2020. "Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  12. repec:aen:journl:ej38-3-hanly is not listed on IDEAS
  13. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
  14. Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020. "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, vol. 20(C).
  15. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
  16. Jahangir Sultan & Antonios K. Alexandridis & Mohammad Hasan & Xuxi Guo, 2019. "Hedging performance of multiscale hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1613-1632, December.
  17. Richard D. F. Harris & Jian Shen & Evarist Stoja, 2010. "The Limits to Minimum‐Variance Hedging," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 737-761, June.
  18. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Value-at-risk methodologies for effective energy portfolio risk management," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 197-212.
  19. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  20. Müller, Fernanda Maria & Spindler, Leonardo Teixeira & Righi, Marcelo Brutti, 2025. "Comparative analysis of risk measures for optimal hedge ratio determination," Finance Research Letters, Elsevier, vol. 75(C).
  21. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
  22. Zhou, Jian, 2025. "Hedging downside risk for REITs," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  23. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
  24. Capitani, Daniel Henrique Dario & Mattos, Fabio, 2017. "Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 55(3), January.
  25. Sun, Xiaolin & Alizadeh, Amir H. & Pouliasis, Panos K., 2025. "Hedging shipping freight rates using conditional Value-at-Risk and Buffered Probability of Exceedance," Journal of Commodity Markets, Elsevier, vol. 40(C).
  26. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.
  27. Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
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