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The Time Pattern of Hedging and the Volatility of Futures Prices
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Cited by:
- 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.
- Sergio H. Lence & Dermot J. Hayes, 1993. "Optimal Hedging under Forward-Looking Behavior," Center for Agricultural and Rural Development (CARD) Publications 93-wp108, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Lence, Sergio H & Hayes, Dermot J., 1995. "Optimal Hedging Under Forward-Looking Behaviour," ISU General Staff Papers 199512010800001137, Iowa State University, Department of Economics.
- Lence, Sergio H. & Hayes, Dermot J., 1995. "Optimal Hedging Under Forward-Looking Behavior," Staff General Research Papers Archive 533, Iowa State University, Department of Economics.
- 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.
- Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
- Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics 119068, London School of Economics and Political Science, LSE Library.
- Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
- 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.
- repec:dau:papers:123456789/13631 is not listed on IDEAS
- 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.
- Chambers, Robert G. & Quiggin, John C., 2002. "Separability Of Stochastic Production Decisions From Producer Risk Preferences In The Presence Of Financial Markets," Working Papers 28561, University of Maryland, Department of Agricultural and Resource Economics.
- Robert G. Chambers & John Quiggin, 2003. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Risk & Uncertainty Working Papers WPR03_4, Risk and Sustainable Management Group, University of Queensland.
- Chambers, Robert G. & Quiggin, John, 2003. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Risk and Sustainable Management Group Working Papers 150348, University of Queensland, School of Economics.
- Ren'e Aid & Andrea Cosso & Huy^en Pham, 2020. "Equilibrium price in intraday electricity markets," Papers 2010.09285, arXiv.org.
- 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.
- 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.
- 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.
- 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].
- 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.
- 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.
- Sigl, Lukas & Hirschauer, Norbert, 2024. "The hedging efficiency of wheat futures in various types of farms in Germany," SocArXiv pvq9t, Center for Open Science.
- 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.
- GianCarlo Moschini & Robert J. Myers, 2001. "Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach," Center for Agricultural and Rural Development (CARD) Publications 01-wp268, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Moschini, Giancarlo & Myers, Robert J., 2002. "Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach," ISU General Staff Papers 200212010800001294, Iowa State University, Department of Economics.
- Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate Garch Approach," Staff General Research Papers Archive 1945, Iowa State University, Department of Economics.
- Carter, Colin A. & Schaefer, K. Aleks & Scheitrum, Daniel, 2021. "Raising cane: Hedging calamity in Australian sugar," Journal of Commodity Markets, Elsevier, vol. 21(C).
- 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.
- Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
- 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.
- 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.
- 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.
- repec:dau:papers:123456789/11383 is not listed on IDEAS
- 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.
- 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.
- Pannell, David J. & Hailu, Getu & Weersink, Alfons & Burt, Amanda, 2007. "More Reasons Why Farmers Have So Little Interest in Futures Markets," Working Papers 9232, University of Western Australia, School of Agricultural and Resource Economics.
- 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.
- Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
- 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.
- 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.
- Sergio H. Lence & Yong Sakong & Dermot J. Hayes, 1993. "Multiperiod Production with Forward and Options Markets," Center for Agricultural and Rural Development (CARD) Publications 93-wp112, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Lence, Sergio H & Sakong, Yong & Hayes, Dermot J., 1994. "Multiperiod Production with Forward and Option Markets," ISU General Staff Papers 199401010800001140, Iowa State University, Department of Economics.
- Lence, Sergio H. & Sakong, Yong & Hayes, Dermot J., 1994. "Multiperiod Production with Forward and Options Markets," Staff General Research Papers Archive 634, Iowa State University, Department of Economics.
- 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.
- 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).
- Joelle Miffre & Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
- 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.
- Kim, Tae-Kyun, 1989. "The factor bias of technical change and technology adoption under uncertainty," ISU General Staff Papers 1989010108000010138, Iowa State University, Department of Economics.
- Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, February.
- 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.
- 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.
- 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).
- 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).
- 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.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print hal-02417401, HAL.
- 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.
- 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.
- Delphine H. Lautier, Franck Raynaud, and Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Shocks propagation across the futures term structure : evidence from crude oil prices," Post-Print hal-01781765, HAL.
- Delphine Lautier & Franck Raynaud & Michel Robe, 2019. "Shock propagation across the futures term structure: evidence from crude oil prices," Post-Print hal-02307118, HAL.
- David Batista Soares & Etienne Borocco, 2022. "Rational destabilization in commodity markets [Déstabilisation rationnelle des marchés de matières premières]," Post-Print hal-03256534, HAL.
- 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.
- 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.
- Duncan, Steven Scott, 1988. "The relevant forecast of variance of income for marketing decisions under uncertainty," ISU General Staff Papers 198801010800009839, Iowa State University, Department of Economics.
- 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.
- Haigh, Michael S. & Holt, Matthew T., 2002. "Combining Time-Varying And Dynamic Multi-Period Optimal Hedging Models," Working Papers 28593, University of Maryland, Department of Agricultural and Resource Economics.
- Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
- Lence, Sergio Horacio, 1991. "Dynamic firm behavior under uncertainty," ISU General Staff Papers 1991010108000010656, Iowa State University, Department of Economics.
- 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.
- 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.
- Ramaswami, Bharat & Roe, Terry L., 1989. "Incompleteness in Insurance: An Analysis of the Multiplicative Case," Bulletins 7492, University of Minnesota, Economic Development Center.
- 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.
- 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.
- 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.
- 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.
- Karali, Berna & Thurman, Walter N., 2007. "Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon 9865, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
- 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.
- Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," JRFM, MDPI, vol. 4(1), pages 1-29, December.
- 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.
- 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.
- 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).
- 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.
- 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.
- 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, Wiley Blackwell, vol. 45(2), pages 257-276, May.
- 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.
- 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.
- 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.
- Nyassoke Titi Gaston Clément & Jules Sadefo-Kamdem & Louis Aimé Fono, 2022. "Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump," Post-Print hal-02417401, HAL.
- 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.
- Jin, Na, 2011. "Three essays on commodity futures and options markets," ISU General Staff Papers 201101010800001428, Iowa State University, Department of Economics.
- 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.
- 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).
- repec:vuw:vuwscr:19065 is not listed on IDEAS
- 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.
- 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).
- Delphine Lautier & Franck Raynaud, 2014. "Information Flows in the term structure of commodity prices," Post-Print hal-01655842, HAL.
- Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
- 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.
- 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.