H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

There are two major competing procedures for evaluating risky projects where managerial flexibility plays an important role: one is decision analytic, based on stochastic dynamic programming, and the other is option pricing theory (or contingent claims analysis), based on the no-arbitrage theory of financial markets. In this paper, we show how these two approaches can be profitably integrated t...

In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and futures contract in hedging oil price risk. order to measure ETFs, estimate usual minimum variance hedge ratios as well quantile based on different methods. We also compute effectiveness ETFs. find that ETFs can be used instruments especially for longer horizons extreme quantiles. H...

a r t i c l e i n f o JEL classification: E52 G10 G14 Keywords: High oil price events Asymmetric impacts of monetary shocks Financing constraints This paper investigates whether a high oil price event that worsens the quality of a firm's balance sheet in turn provides an additional transmission channel to the stock market, which then affects stock returns. We examine the asymmetric impacts of m...

This paper analyses the time series properties of the daily return from the ten year bond futures contracts traded on the Sydney Futures Exchange (SFE), together with the transmission of volatility from other interest rate futures contracts. The methodology relies on appropriate modelling of the conditional hetersocedasticity observed in the futures price change series. It is then evidnt that t...

Futures are special kind of values that allow the synchronisation of different processes. Futures are in fact identifiers for promised results of function calls that are still awaited. When the result is necessary for the computation, the process is blocked until the result is returned. We are interested in this paper in transparent first-class futures, and their use within distributed componen...

The main purpose of this paper is to present a three-phase periodization of modern Western futures studies to construct historical classification. In order to reach this goal, the following intellectual traditions are introduced to review the philosophical and historical contexts that affect the very foundations of futures studies: (a) religions, (b) utopias, (c) historicism, (d) science fictio...

a r t i c l e i n f o In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. The optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time-horizons using the wavelet transform. Next, associated hedging effectiveness is contrasted for a range of risk metrics, with all metrics sho...