Essays about: "Dynamic hedge ratio"

Found 4 essays containing the words Dynamic hedge ratio.

1. 1. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

   University essay from Linköpings universitet/Nationalekonomi

   Author : Daniel Engström; Niklas Gustafsson; [2017]
   Keywords : Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

   Abstract : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. READ MORE

3. 2. Risk Management for Swedish Farmers - An empirical study on hedge ratios for Swedish wheat

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Pierre Andersson; [2016]
   Keywords : Dynamic hedge ratio; Wheat futures; GARCH; BEKK; VECH; Business and Economics;

   Abstract : The paper investigates data on purchasing price of wheat from Swedish grain buyer Lantmännen and MATIF future contracts on milling wheat in an attempt to replicate the conditions for a Swedish farmer trying to manage his risk on wheat by trading future contracts on the MATIF exchange. Two static linear regressions and four dynamic GARCH models are employed on a sample of 1679 daily returns and 339 weekly returns ranging from 2009-07-01 to 2016-01-11. READ MORE

4. 3. Hedging with Gold Futures: Evidence from China and India

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jing Yang; Oleksandr Pavlov; [2011]
   Keywords : Gold; Futures; Hedge ratio; Hedging effectiveness; China; India; Business and Economics;

   Abstract : Recently the National Commodity & Derivatives Exchange (NCDEX) and the Shanghai Futures Exchange (SHFE) introduced gold futures trading in India and China respectively. In developing markets like China and India it is important to manage risk. READ MORE

5. 4. Dynamic Hedge Rations on Currency Futures

   University essay from Göteborgs universitet/Graduate School

   Author : Bartosz Czekierda; Wei Zhang; [2010-06-16]
   Keywords : ;

   Abstract : In the globalized economy many businesses are exposed to the foreign exchange risk in their daily trading activities. Exchange traded futures contracts are one of the instruments that are designed specifically to hedge such risk. READ MORE