Nothing Special   »   [go: up one dir, main page]
create a website
Market risk and the cattle feeding margin: An application of Value-at-Risk. (2001). Manfredo, Mark ; Leuthold, Raymond M..
In: Agribusiness.
RePEc:wly:agribz:v:17:y:2001:i:3:p:333-353.

Full description at Econpapers || Download paper

Cited: 13

Citations received by this document

Cites: 16

References cited by this document

Cocites: 38

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. .

    Full description at Econpapers || Download paper

  2. Predicting Food-Safety Risk and Determining Cost-Effective Risk-Reduction Strategies. (2021). Nganje, William ; Burbidge, Linda D ; Ndembe, Elvis M ; Denkyirah, Elisha K.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:408-:d:627116.

    Full description at Econpapers || Download paper

  3. Risk Management for Grain Processors and “Copulas”. (2016). Chen, Songjiao ; Larsen, Ryan ; Dahl, Bruce ; Wilson, William .
    In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
    RePEc:bla:canjag:v:64:y:2016:i:2:p:365-382.

    Full description at Econpapers || Download paper

  4. Investing in Agriculture as an Asset Class. (2015). Wilson, William ; Larsen, Ryan ; Dahl, Bruce ; Chen, Songjiao .
    In: Agribusiness.
    RePEc:wly:agribz:v:31:y:2015:i:3:p:353-371.

    Full description at Econpapers || Download paper

  5. Investing in Agriculture as an Asset Class. (2013). Wilson, William ; Larsen, Ryan ; Dahl, Bruce L. ; Chen, Songjiao .
    In: Agribusiness & Applied Economics Report.
    RePEc:ags:nddaae:147053.

    Full description at Econpapers || Download paper

  6. Optimal commodity asset allocation with a coherent market risk modeling. (2012). Al Janabi, Mazin A. M., .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:21:y:2012:i:3:p:131-140.

    Full description at Econpapers || Download paper

  7. Multivariate forecasting of a commodity portfolio: application to cattle feeding margins and risk. (2011). Tonsor, Glynn ; Schroeder, Ted.
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:11:p:1329-1339.

    Full description at Econpapers || Download paper

  8. Extreme Measures of Agricultural Financial Risk. (2011). cotter, john ; Morgan, Wyn ; Dowd, Kevin.
    In: Papers.
    RePEc:arx:papers:1103.5962.

    Full description at Econpapers || Download paper

  9. Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach. (2009). Vedenov, Dmitry ; Leatham, David ; Larsen, Ryan.
    In: 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia.
    RePEc:ags:saeana:46763.

    Full description at Econpapers || Download paper

  10. Geographical Diversification: An Application of Copula Based CVaR. (2008). Leatham, David ; Larsen, Ryan ; Wolfley, Jared L. ; Mjelde, James W..
    In: 2008 Agricultural and Rural Finance Markets in Transition, September 25-26, 2008, Kansas City, Missouri.
    RePEc:ags:nc1008:119533.

    Full description at Econpapers || Download paper

  11. The forecasting performance of implied volatility from live cattle options contracts: Implications for agribusiness risk management. (2004). Manfredo, Mark ; Sanders, Dwight R..
    In: Agribusiness.
    RePEc:wly:agribz:v:20:y:2004:i:2:p:217-230.

    Full description at Econpapers || Download paper

  12. Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory. (2003). Odening, Martin ; Hinrichs, Jan.
    In: German Journal of Agricultural Economics.
    RePEc:ags:gjagec:98092.

    Full description at Econpapers || Download paper

  13. Methoden des Rechnungswesens als Instrumente des Risikomanagements in der Landwirtschaft. (2001). Bahrs, E.
    In: Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”.
    RePEc:ags:gewipr:208809.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Bera, A.K., Garcia, P., & Roh, J.S. ( 1997). Estimation of time-varying hedge ratios for corn and soybeans: BGARCH and random coefficient approaches. Sankhya: The Indian Journal of Statistics, Series B, 59, 346-368. .

  2. Black, F. ( 1976). The pricing of commodity contracts. Journal of Financial Economics, 3, 167-179. .

  3. Bollerslev, T. ( 1990). Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach. Review of Economics and Statistics, 72, 498-505. .

  4. Campbell, J.Y., Lo, A.W., & MacKinlay, A.C. ( 1997). The econometrics of financial markets. Princeton, NJ: Princeton University Press. .
    Paper not yet in RePEc: Add citation now
  5. Crnkovic, C., & Drachman, J. ( 1996). Quality control. Risk, 9, 138-143. .
    Paper not yet in RePEc: Add citation now
  6. Duffie, D., & Pan, J. ( 1997). An overview of value at risk. The Journal of Derivatives, 4, 7-49. .
    Paper not yet in RePEc: Add citation now

  7. Hendricks, D. ( 1996). Evaluation of value-at-risk models using historical data. Federal Reserve Bank of New York Policy Review, 2, 39-69. .

  8. Hopper, G.P. ( 1996). Value-at-risk: A new methodology for measuring portfolio risk. Business Review Federal Reserve Bank of Philadelphia, July|August, 19-31. .
    Paper not yet in RePEc: Add citation now
  9. Jones, R., Mintert, J., Langemeier, M., Schroeder, T., & Albright, M. ( 1996). Sources of economic variability in cattle feeding. Proceedings of the NCR-134 Conference on Applied Commodity Forecasting and Risk Management, Chicago, IL, April, 336-348. .
    Paper not yet in RePEc: Add citation now
  10. Jorion, P. ( 1996). Risk2: Measuring the risk in value at risk. Financial Analysts Journal, 52, 47-56. .
    Paper not yet in RePEc: Add citation now
  11. Leuthold, R.M., & Mokler, R.S. ( 1979). Feeding margin hedging in the cattle industry. Proceedings of the International Futures Trading Seminar of the Chicago Board of Trade, 6, 56-68. .
    Paper not yet in RePEc: Add citation now
  12. Linsmeier, T.J., & Pearson, N.D. ( 1997). Quantitative disclosures of market risk in the SEC release. Accounting Horizons, 11, 107-135. .
    Paper not yet in RePEc: Add citation now
  13. Mahoney, J.M. ( 1996). Empirical-based versus model-based approaches to value-at-risk: An examination of foreign exchange and global equity portfolios. Proceedings of a Joint Central Bank Research Conference, Board of Governors of the Federal Reserve System, pp. 199-217. .
    Paper not yet in RePEc: Add citation now
  14. Mayhew, S. ( 1995). Implied volatility. Financial Analysts Journal, 51, 8-19. .
    Paper not yet in RePEc: Add citation now
  15. RiskMetricsTM Technical Document 4th Edition, Morgan Guaranty Trust Company, New York. Available: http:||www.RiskMetrics.com|res earch|, 1996 .
    Paper not yet in RePEc: Add citation now
  16. Schroeder, T.C., Albright, M.L., Langemeier, M.R., & Mintert, J. ( 1993). Factors affecting cattle feeding profitability. Journal of the American Society of Farm Managers and Rural Appraisers, 57, 48-54. .
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

    Full description at Econpapers || Download paper

  2. The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets. (2022). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001318.

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Shipping risk management practice revisited: A new portfolio approach. (2018). VISVIKIS, ILIAS ; Alexandridis, George ; Song, Dong-Wook ; Sahoo, Satya.
    In: Transportation Research Part A: Policy and Practice.
    RePEc:eee:transa:v:110:y:2018:i:c:p:274-290.

    Full description at Econpapers || Download paper

  5. Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

    Full description at Econpapers || Download paper

  6. On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark.
    In: MPRA Paper.
    RePEc:pra:mprapa:82000.

    Full description at Econpapers || Download paper

  7. Dynamic Conditional Beta. (2016). Engle, Robert.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667..

    Full description at Econpapers || Download paper

  8. Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection. (2016). Wolff, Dominik ; Leonhardt, Alexander ; Bessler, Wolfgang .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:239-256.

    Full description at Econpapers || Download paper

  9. Optimal conditional hedge ratio: A simple shrinkage estimation approach. (2016). Park, Sung Y. ; Kim, Myeong Jun .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:139-156.

    Full description at Econpapers || Download paper

  10. Evaluating the performance of futures hedging using multivariate realized volatility. (2015). Ubukata, Masato ; Watanabe, Toshiaki .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:38:y:2015:i:c:p:148-171.

    Full description at Econpapers || Download paper

  11. The management of price risk in Iranian dates: An application of futures instruments. (2014). Yazdani, Saeed ; Sherafatmand, Habibeh .
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:doi:10.1080/23322039.2014.946998.

    Full description at Econpapers || Download paper

  12. Short Term Hedging Using Futures Contracts. (2012). PAUN, Ioana Diana ; DIMITRIU, Maria CARACOTA .
    In: Economia. Seria Management.
    RePEc:rom:econmn:v:15:y:2012:i:2:p:436-445.

    Full description at Econpapers || Download paper

  13. A General Empirical Model of Hedging. (2012). Lalloob, Ricardo ; Alghalith, Moawia.
    In: JRFM.
    RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:1-19:d:28407.

    Full description at Econpapers || Download paper

  14. Multi Mean Garch Approach to Evaluating Hedging Performance in the Crude Palm Oil Futures Market. (2011). Shaharudin, Roselee Shah ; Zainudin, Rozaimah.
    In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF).
    RePEc:usm:journl:aamjaf00701_111-130.

    Full description at Econpapers || Download paper

  15. Time-varying hedge ratios in linked agricultural markets. (2011). Bekkerman, Anton.
    In: Agricultural Finance Review.
    RePEc:eme:afrpps:v:71:y:2011:i:2:p:179-200.

    Full description at Econpapers || Download paper

  16. Hedging with Two Futures Contracts: Simplicity Pays. (2011). , Katelijne ; Sercu, Piet ; Tuong, Van Thi.
    In: European Financial Management.
    RePEc:bla:eufman:v:17:y:2011:i:5:p:806-834.

    Full description at Econpapers || Download paper

  17. Dynamic Hedging inMarkov Regimes Switching. (2011). Monteiro, Wagner ; Bueno, Rodrigo ; De-Losso, Rodrigo ; Rodrigo De Losso da Silveira Bueno, .
    In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting].
    RePEc:anp:en2009:136.

    Full description at Econpapers || Download paper

  18. Hedging with futures: Efficacy of GARCH correlation models to European electricity markets. (2010). Gabbi, Giampaolo ; Geranio, Manuela ; Zanotti, Giovanna.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:2:p:135-148.

    Full description at Econpapers || Download paper

  19. Futures hedging effectiveness under the segmentation of bear/bull energy markets. (2010). Chang, Chiao-Yi ; Lai, Jing-Yi ; Chuang, I-Yuan, .
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:442-449.

    Full description at Econpapers || Download paper

  20. Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets. (2009). Choudhry, Taufiq.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:58-65.

    Full description at Econpapers || Download paper

  21. A State Dependent Regime Switching Model of Dynamic Correlations. (2009). Pelletier, Denis ; Goodwin, Barry ; Tejeda, Hernan A..
    In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin.
    RePEc:ags:aaea09:49370.

    Full description at Econpapers || Download paper

  22. Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar. (2008). Tsui, Albert ; Ho, Kin-Yip.
    In: SCAPE Policy Research Working Paper Series.
    RePEc:sca:scaewp:0805.

    Full description at Econpapers || Download paper

  23. Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar. (2008). Tsui, Albert ; Ho, Kin-Yip.
    In: Finance Working Papers.
    RePEc:eab:financ:22571.

    Full description at Econpapers || Download paper

  24. The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model. (2008). Vedenov, Dmitry ; Power, Gabriel.
    In: 2008 Conference, April 21-22, 2008, St. Louis, Missouri.
    RePEc:ags:nccest:37609.

    Full description at Econpapers || Download paper

  25. Optimal hedging in European electricity forward markets. (2007). le Pen, Yannick ; Sevi, Yannick .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/6808.

    Full description at Econpapers || Download paper

  26. Multivariate GARCH models: a survey. (2006). Rombouts, Jeroen ; Laurent, Sébastien ; Bauwens, Luc.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109.

    Full description at Econpapers || Download paper

  27. A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios. (2005). Yoder, Jonathan ; Lee, Hsiang-Tai .
    In: Econometrics.
    RePEc:wpa:wuwpem:0506009.

    Full description at Econpapers || Download paper

  28. Hedging against bunker price fluctuations using petroleum futures contracts: constant versus time-varying hedge ratios. (2004). Kavussanos, Manolis ; Alizadeh, Amir ; Menachof, David A..
    In: Applied Economics.
    RePEc:taf:applec:v:36:y:2004:i:12:p:1337-1353.

    Full description at Econpapers || Download paper

  29. Hedge ratios in Greek stock index futures market. (2004). Vougas, Dimitrios ; Floros, Christos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:15:p:1125-1136.

    Full description at Econpapers || Download paper

  30. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. (2004). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80487.

    Full description at Econpapers || Download paper

  31. Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach. (2004). Tsui, Albert ; Ka Cheng Tsui, ; Ho, Kin-Yip.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:12.

    Full description at Econpapers || Download paper

  32. Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns. (2002). BERA, Anil K. ; Kim, Sangwhan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:2:p:171-195.

    Full description at Econpapers || Download paper

  33. ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS. (2002). Yang, Jian ; Awokuse, Titus.
    In: Staff Papers.
    RePEc:ags:udelsp:15826.

    Full description at Econpapers || Download paper

  34. Market risk and the cattle feeding margin: An application of Value-at-Risk. (2001). Manfredo, Mark ; Leuthold, Raymond M..
    In: Agribusiness.
    RePEc:wly:agribz:v:17:y:2001:i:3:p:333-353.

    Full description at Econpapers || Download paper

  35. A Multivariate GARCH Model with Time-Varying correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004010.

    Full description at Econpapers || Download paper

  36. A Multivariate GARCH Model with Time-Varying Correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004007.

    Full description at Econpapers || Download paper

  37. Evaluating covariance matrix forecasts in a value-at-risk framework. (2000). Lopez, Jose ; Walter, Christian A..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-21.

    Full description at Econpapers || Download paper

  38. Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk. (1999). Manfredo, Mark ; Leuthold, Raymond M..
    In: Finance.
    RePEc:wpa:wuwpfi:9908002.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-06 08:09:48 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.