نتایج جستجو برای: hedge ratio

تعداد نتایج: 504856  

Journal: :تحقیقات اقتصاد و توسعه کشاورزی ایران 0
مهدی پندار دانشجوی دوره دکتری دانشکده اقتصاد دانشگاه علامه طباطبایی عباس شاکری استاد دانشکده اقتصاد دانشگاه علامه طباطبایی حبیب الله سلامی استاد پردیس کشاورزی و منابع طبیعی دانشگاه تهران

oil seeds and crude vegetable oil are the raw materials used in vegetable oil producing industry. vegetable oil producing plants in iran are dependent on importing the material in a way that more than 90 percent of these materials are to be imported. soybean oil seed is the main oil seed utilized in the oil producing plants which is procured through importation from other countries. in the worl...

2008
Jin-Huei Yeh Chih-Wei Huang Chih-Chiang Hsu

In view of the recent documented hedging bias attributable to failing to accommodate volatility long memory, we suggest to use the simple, yet superior, realized variancecovariance (RVCOV) in dynamic hedging. For its incremental value from intradaily information, model-free and inherent long memory, RVCOV has been shown to be accurate without misspecification bias and easily generalized to high...

2018
Thomas Conlon John Cotter

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both inand out-of-sample, u...

2007
Emanuel Derman Kun Soo Park

A lockup period for investment in a hedge fund is a time period after making the investment during which the investor cannot freely redeem his investment. It is routine to have a one-year lockup period, but recently the requested lockup periods have grown longer. Assuming that the investor will rebalance his portfolio of hedge funds on a yearly basis, if permitted, we define the annual lockup p...

2004
Jonathan Dark JONATHAN DARK

This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index. The paper therefore introduces the bivariate error correction FIGARCH model into the hedging literature, which to date has only employed the GARCH class of processes. This is important for tho...

2007
Celso Brunetti Michael S. Haigh

The possibility that hedge fund trading destabilizes or creates a volatile market is frequently debated. This hypothesis is in stark contrast to the traditional speculative stabilizing theory that profitable speculation must involve buying when the price is low and selling when the price is high. To test the hypothesis that hedge fund trading is destabilizing we employ a unique dataset from the...

2016
Huiwei Zhou Junli Xu Yunlong Yang Huijie Deng Long Chen Degen Huang

Hedge detection aims to distinguish factual and uncertain information, which is important in information extraction. The task of hedge detection contains two subtasks: identifying hedge cues and detecting their linguistic scopes. Hedge scope detection is dependent on syntactic and semantic information. Previous researches usually use lexical and syntactic information and ignore deep semantic in...

2003
CHRISTOS FLOROS DIMITRIOS V. VOUGAS

This paper examines hedging effectiveness in Greek stock index futures market. We focus on various techniques to estimate variance reduction from constant and time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of models to derive and estimate the effectiveness of hedging. We measure hedging effectiveness usi...

2006
Christos Floros Dimitrios V. Vougas

This paper examines hedging effectiveness in Greek stock index futures market. We focus on various techniques to estimate variance reduction from constant and time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of models to derive and estimate the effectiveness of hedging. We measure hedging effectiveness usi...

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید