Optimal futures hedging for energy commodities: An application of the GAS model

2020 ◽  
Vol 40 (7) ◽  
pp. 1090-1108 ◽  
Author(s):  
Yingying Xu ◽  
Donald Lien
Keyword(s):  
Futures Hedging

Futures hedging effectiveness under the segmentation of bear/bull energy markets

2010 ◽  
Vol 32 (2) ◽  
pp. 442-449 ◽  
Author(s):  
Chiao-Yi Chang ◽  
Jing-Yi Lai ◽  
I-Yuan Chuang
Keyword(s):  
Energy Markets ◽  
Hedging Effectiveness ◽  
Futures Hedging

Futures Hedging Under Price, Basis, and Production Risk

1994 ◽  
Vol 76 (3) ◽  
pp. 465-477 ◽  
Author(s):  
Harvey Lapan ◽  
Giancarlo Moschini
Keyword(s):  
Production Risk ◽  
Futures Hedging

Seasonal patterns of futures hedging and the resolution of output uncertainty

1991 ◽  
Vol 53 (2) ◽  
pp. 304-327 ◽  
Author(s):  
David Hirshleifer
Keyword(s):  
Seasonal Patterns ◽  
Futures Hedging ◽  
Output Uncertainty

Optimal Futures Hedging in the Presence of Asymmetric Information

1985 ◽  
Vol 5 (4) ◽  
pp. 595-605 ◽  
Author(s):  
Nabil T. Khoury ◽  
Jean-Marc Martel
Keyword(s):  
Asymmetric Information ◽  
Futures Hedging

scholarly journals Good Approximation of Exponential Utility Function for Optimal Futures Hedging

2016 ◽  
Vol 06 (03) ◽  
pp. 457-463 ◽  
Author(s):  
Xu Guo ◽  
Donald Lien ◽  
Wing-Keung Wong
Keyword(s):  
Utility Function ◽  
Exponential Utility ◽  
Futures Hedging ◽  
Exponential Utility Function

Could the jump diffusion technique enhance the effectiveness of futures hedging models?

2009 ◽  
Vol 79 (10) ◽  
pp. 3076-3088 ◽  
Author(s):  
Ming-Yuan Leon Li
Keyword(s):  
Jump Diffusion ◽  
Futures Hedging ◽  
Diffusion Technique

Copper Futures Hedging based on Markov switching approach

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Jiaxuan Chen
Keyword(s):  
Markov Switching ◽  
Futures Hedging
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