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Optimal Hedge Ratios At The Winnipeg Commodity Exchange
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Book Synopsis Working Paper Series No. 90-13. Optimal Hedge Ratios at the Winnipeg Commodity Exchange by : University of New Brunswick. Dept. of Economics
Download or read book Working Paper Series No. 90-13. Optimal Hedge Ratios at the Winnipeg Commodity Exchange written by University of New Brunswick. Dept. of Economics and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Peter S. Sephton Publisher :Fredericton : Department of Economics, University of New Brunswick ISBN 13 : Total Pages :60 pages Book Rating :4.:/5 (262 download)
Book Synopsis Optimal Hedge Ratios at the Winnipeg Commodity Exchange by : Peter S. Sephton
Download or read book Optimal Hedge Ratios at the Winnipeg Commodity Exchange written by Peter S. Sephton and published by Fredericton : Department of Economics, University of New Brunswick. This book was released on 1990 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure by : Massimiliano Barbi
Download or read book Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure written by Massimiliano Barbi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK and US equity indices, the EURUSD and EURGBP exchange rates, and four liquid commodities, to represent different asset classes, i.e. Brent crude oil, corn, gold, and copper. Comparing the results with common optimal hedge ratios (such as the minimum-variance, and the minimum-expected shortfall), we find that the agent's risk aversion has a material impact, and should not be ignored in risk management.
Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee
Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Book Synopsis Hedging a portfolio with futures by : Marco Scheidler
Download or read book Hedging a portfolio with futures written by Marco Scheidler and published by GRIN Verlag. This book was released on 2005-07-21 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2003 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, Wright State University (Raj Soin College of Business), language: English, abstract: Abstract Undertaking business always involves taking risk. The future development of a company and their business is more uncertain the higher the risk that the company is facing. Risk management is a important factor in operating business. With the development of future markets entrepreneurs and investors obtained another risk management tool that made it possible to reduce risk. Futures are derivatives that can be used either for speculating or risk management. Especially in the area of financial futures, a rapid growth could be observed during the last few decades. Almost every month a new type of contract appears to meet the needs of a continuously growing corporate and institutional market. This paper considers future contracts as hedging application to reduce price risk. Futures are standardized contracts to buy or sell an asset in the future. There are various types of futures which differ in the type of the underlying asset. Futures are traded at organized exchanges. We consider the trading of future, their requirements, and market participants and their motivation. Different commercial users of future contracts hedge in different ways. A long hedge is used to reduce price risk of an anticipated purchase whereas a short hedge reduces the price risk of an asset that is already held. If there is no exact, the hedgers needs matching, contract available, the hedger should use a cross hedging strategy. With all these strategies the hedger takes, to the asset opposite, a position in the future market that is highly correlated with the change in price of the asset in the spot market. Losses in one market are offset by gains in the other market. For a successful hedge it is essential to choose an appropriate contract and hedge ratio. Faults can result in losses. The example of hedging a stock portfolio shows the application of an index future and presents the behavior of the hedged portfolio in different scenarios of stock market development.
Book Synopsis Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses by : Cheng-Few Lee
Download or read book Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses written by Cheng-Few Lee and published by Springer. This book was released on 2016-11-24 with total page 1043 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introductory textbook for business statistics teaches statistical analysis and research methods via business case studies and financial data using Excel, Minitab, and SAS. Every chapter in this textbook engages the reader with data of individual stock, stock indices, options, and futures. One studies and uses statistics to learn how to study, analyze, and understand a data set of particular interest. Some of the more popular statistical programs that have been developed to use statistical and computational methods to analyze data sets are SAS, SPSS, and Minitab. Of those, we look at Minitab and SAS in this textbook. One of the main reasons to use Minitab is that it is the easiest to use among the popular statistical programs. We look at SAS because it is the leading statistical package used in industry. We also utilize the much less costly and ubiquitous Microsoft Excel to do statistical analysis, as the benefits of Excel have become widely recognized in the academic world and its analytical capabilities extend to about 90 percent of statistical analysis done in the business world. We demonstrate much of our statistical analysis using Excel and double check the analysis and outcomes using Minitab and SAS—also helpful in some analytical methods not possible or practical to do in Excel.
Book Synopsis Modeling and Forecasting Primary Commodity Prices by : Walter C. Labys
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Book Synopsis Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets by : Brajesh Kumar
Download or read book Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets written by Brajesh Kumar and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of derivatives in managing risk. For managing risk, understanding optimal hedge ratio is critical for devising effective hedging strategy. We estimate dynamic and constant hedge ratio for Samp;P CNX Nifty index futures, Gold futures and Soybean futures. Various models (OLS, VAR, and VECM) are used to estimate constant hedge ratio. To estimate dynamic hedge ratios, we use VAR-MGARCH. We compare in-sample and out-of-sample performance of these models in reducing portfolio risk. It is found that in most of the cases, VAR-MGARCH model estimates of time varying hedge ratio provide highest variance reduction as compared to hedges based on constant hedge ratio. Our results are consistent with findings of Myers (1991), Baillie and Myers (1991), Park and Switzer (1995a,b), Lypny and Powella (1998), Kavussanos and Nomikos (2000), Yang (2001), and Floros and Vougas (2006).
Book Synopsis The Hedging Effectiveness of Optimal Hedge Ratios in the Australian Futures Market by : Charles Vince
Download or read book The Hedging Effectiveness of Optimal Hedge Ratios in the Australian Futures Market written by Charles Vince and published by . This book was released on 2003 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Varying Optimal Hedge Ratios in Indian Futures Market by : Pankaj Tibrewal
Download or read book Time Varying Optimal Hedge Ratios in Indian Futures Market written by Pankaj Tibrewal and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Time-varying Optimal Hedge Ratios in the 90 Day Bank Accepted Bill Futures Market by : Ross Endres
Download or read book Testing for Time-varying Optimal Hedge Ratios in the 90 Day Bank Accepted Bill Futures Market written by Ross Endres and published by . This book was released on 1992 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-Varying Hedge Ratios by : John K. Kuwornu
Download or read book Time-Varying Hedge Ratios written by John K. Kuwornu and published by . This book was released on 2005 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the classic agency model to derive a time-varying optimal hedge ratio for low-frequency time-series data: the type of data used by crop farmers when deciding about production and about their hedging strategy. Rooted in the classic agency framework, the proposed hedge ratio reflects the context of both the crop farmer's decision and the crop farmer's contractual relationships in the marketing channel. An empirical illustration for the Dutch ware potato sector and its futures market in Amsterdam over the period 1971 - 2003 reveals that the time-varying optimal hedge ratio decreased from 0.34 in 1971 to 0.24 in 2003. The hedging effectiveness, according to this ratio, is 39%. These estimates conform better with farmers' interest in using futures contracts for hedging purposes than the much higher estimates obtained when price risk minimisation is the only objective considered.
Book Synopsis Optimal Hedging in Futures Markets with Multiple Delivery Specifications by : Avraham Kamara
Download or read book Optimal Hedging in Futures Markets with Multiple Delivery Specifications written by Avraham Kamara and published by . This book was released on 1986 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Management, Speculation, and Derivative Securities by : Geoffrey Poitras
Download or read book Risk Management, Speculation, and Derivative Securities written by Geoffrey Poitras and published by Academic Press. This book was released on 2002-06-10 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.
Book Synopsis Advances in Financial Risk Management by : Jonathan A. Batten
Download or read book Advances in Financial Risk Management written by Jonathan A. Batten and published by Springer. This book was released on 2015-12-04 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.
Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Book Synopsis Electrical Engineering and Intelligent Systems by : Sio-Iong Ao
Download or read book Electrical Engineering and Intelligent Systems written by Sio-Iong Ao and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: The revised and extended papers collected in this volume represent the cutting-edge of research at the nexus of electrical engineering and intelligent systems. They were selected from well over 1000 papers submitted to the high-profile international World Congress on Engineering held in London in July 2011. The chapters cover material across the full spectrum of work in the field, including computational intelligence, control engineering, network management, and wireless networks. Readers will also find substantive papers on signal processing, Internet computing, high performance computing, and industrial applications. The Electrical Engineering and Intelligent Systems conference, as part of the 2011 World Congress on Engineering was organized under the auspices of the non-profit International Association of Engineers (IAENG). With more than 30 nations represented on the conference committees alone, the Congress features the best and brightest scientific minds from a multitude of disciplines related to engineering. These peer-reviewed papers demonstrate the huge strides currently being taken in this rapidly developing field and reflect the excitement of those at the frontiers of this research.
