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Cross-hedging with Agricultural Commodities: A Copula-GARCH Approach

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  • Aglasan, Serkan
  • Wu, Shenan
  • Goodwin, Barry K.

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  • Aglasan, Serkan & Wu, Shenan & Goodwin, Barry K., 2021. "Cross-hedging with Agricultural Commodities: A Copula-GARCH Approach," 2021 Annual Meeting, August 1-3, Austin, Texas 313960, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea21:313960
    DOI: 10.22004/ag.econ.313960
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    1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    2. Chih‐Chiang Hsu & Chih‐Ping Tseng & Yaw‐Huei Wang, 2008. "Dynamic hedging with futures: A copula‐based GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1095-1116, November.
    3. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    4. Hayenga, Marvin L. & DiPietre, Dennis D., 1982. "Cross-Hedging Wholesale Pork Products Using Live Hog Futures," Staff General Research Papers Archive 11305, Iowa State University, Department of Economics.
    5. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    6. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, University Library of Munich, Germany.
    7. Fan, Shenggen & Headey, Derek, 2010. "Reflections on the global food crisis: How did it happen? How has it hurt? And how can we prevent the next one?," Research reports 165, International Food Policy Research Institute (IFPRI).
    8. Gabriel J. Power & Dmitry V. Vedenov & David P. Anderson & Steven Klose, 2013. "Market volatility and the dynamic hedging of multi-commodity price risk," Applied Economics, Taylor & Francis Journals, vol. 45(27), pages 3891-3903, September.
    9. Kandice H. Kahl, 1983. "Determination of the Recommended Hedging Ratio," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 65(3), pages 603-605.
    10. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    12. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
    13. Sheng‐Syan Chen & Cheng‐Few Lee & Keshab Shrestha, 2004. "An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 359-386, April.
    14. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    15. Stewart L. Brown, 1985. "A Reformulation of the Portfolio Model of Hedging," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(3), pages 508-512.
    16. Marvin L. Hayenga & Dennis D. DiPietre, 1982. "Cross-Hedging Wholesale Pork Products Using Live Hog Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(4), pages 747-751.
    17. van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.
    18. Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012. "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, vol. 34(1), pages 270-282.
    19. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    20. Harvey J. Witt & Ted C. Schroeder & Marvin L. Hayenga, 1987. "Comparison of analytical approaches for estimating hedge ratios for agricultural commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(2), pages 135-146, April.
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    Keywords

    Agricultural Finance; Agribusiness; Risk and Uncertainty;
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