Loading...
Please wait, while we are loading the content...
Similar Documents
Cross-hedging with Agricultural Commodities : A Copula-based GARCH Model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Wu, Shenan |
| Copyright Year | 2018 |
| Abstract | This paper examines the cross-hedge ratio between grain sorghum spot prices and corn futures prices. Cross-hedging is used when two products are substitutes, and one does not have a futures market. A copula model with GARCH errors is applied to estimate the optimal hedge ratio. Hedging performance is measured by the reduction in the variance of portfolio. Results show that application of a copula model reduces risk more than the conventional method, such as an OLS model and a multivariate |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://shenanwu.wordpress.ncsu.edu/files/2018/05/Cross-hedging-with-Agricultural-Commodities2.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |