Essays about: "Alejandro Esteban Lombana Betancourt"

Found 1 essay containing the words Alejandro Esteban Lombana Betancourt.

  1. 1. Estimation of Time-Varying Hedge Ratios for Coffee

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Alejandro Esteban Lombana Betancourt; Lena Al Azzawi; [2013]
    Keywords : Hedge ratio; basis risk; GARCH; BEKK; VECH; futures contracts; coffee; Business and Economics;

    Abstract : This paper will gain better insights of how to calculate the hedge ratio to reduce the basis risk and protect against the price volatility, which is caused by the mismatch between the spot and future prices. This will be done by calculating the time-varying hedge ratio for the Colombian mild Arabica coffee, using two BGARCH models, the diagonal BEKK and diagonal VECH. READ MORE