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TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH. (2000). Manfredo, Mark ; Garcia, Philip ; Leuthold, Raymond M..
In: 2000 Conference, April 17-18 2000, Chicago, Illinois.
RePEc:ags:ncrtci:18933.

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Cocites: 50

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  1. Is hedging the crack spread no longer all its cracked up to be?. (2017). Vedenov, Dmitry ; Liu, Pan ; Power, Gabriel J.
    In: Energy Economics.
    RePEc:eee:eneeco:v:63:y:2017:i:c:p:31-40.

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  2. 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.

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  3. Dynamic multiproduct optimal hedging in the soybean complex - do time-varying correlations provide hedging improvements?. (2014). Goodwin, Barry ; Tejeda, Hernan A..
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:27:p:3312-3322.

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  4. Time-Varying Price Interactions and Risk Management in Livestock Feed Markets – Determining the Ethanol Surge Effect.. (2012). Tejeda, Hernan A..
    In: 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington.
    RePEc:ags:aaea12:124956.

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  5. A dynamic hedging approach for refineries in multiproduct oil markets. (2011). Ji, Qiang ; Fan, Ying.
    In: Energy.
    RePEc:eee:energy:v:36:y:2011:i:2:p:881-887.

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  6. Hedging Strategies for Grain Processors. (2006). Wilson, William ; Nganje, William ; Wagner, Robert .
    In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
    RePEc:bla:canjag:v:54:y:2006:i:2:p:311-326.

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  7. STRATEGIC HEDGING FOR GRAIN PROCESSORS. (2003). Wilson, William ; Nganje, William ; Wagner, Robert .
    In: Agribusiness & Applied Economics Report.
    RePEc:ags:nddaae:23637.

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References

References cited by this document

  1. Baillie, R.T., and R.J. Myers . Bivariate GARCH Estimation of Optimal Commodity Futures Hedge. Journal of Applied Econometrics. 6(1991): 109-124. Bera, A.K., P. Garcia, P. and J-S. Roh. Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches. Sankhya: The Indian Journal of Statistics. Series B, 59(i997):346-368. Bollerslev, T. Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. The Review of Economics and Statistics. 3i(i990):498-505.

  2. Campbell, J.Y., A.W. Lo, and A.C. MacKinlay. The Econometrics of Financial Markets. New Jersey: Princeton University Press, 1997. Collins, R.A. The Risk Management Effectiveness of Multivariate Hedging Models in the U.S.
    Paper not yet in RePEc: Add citation now

  3. Fackler, P.L. and K.P. McNew. Multiproduct Hedging: Theory, Estimation, and an Application. Review ofAgricultural Economics. 15(1993): 521-535.

  4. Garcia, P., J-S Roh, and R.M. Leuthold. Simultaneously Determined, Time-Varying Hedge Ratios in the Soybean Complex. Applied Economics. 27(1995): 1127-1134.
    Paper not yet in RePEc: Add citation now

  5. Kroner, K.F. and J. Sultan. Time-Varying Distributions and Dynamic Hedging with Foreign Cunency Futures. Journal of Financial and Quantitative Analysis. 28(1993): 535-551.

  6. Manfredo, M.R., and R.M. Leuthold. Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk, Office For Futures and Options Research Working Paper # 99-04, University of Illinois at Urbana-Champaign, 1999. Myers, R.J. Estimating Time-Varying Optimal Hedge Ratios on Futures Markets. Journal of Futures Markets. ii(i99i):39-53.

  7. Myers, R.J. and S.R. Thompson. Generalized Optimal Hedge Ratio Estimation. American Journal ofAgricultural Economics. 71(1989): 858-67. Park, T.H., and L.N. Switzer. Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note. Journal of Futures Markets, i5(i995):6i-67.

  8. Soy Complex. Journal of Futures Markets. 20(2000):i89-204.
    Paper not yet in RePEc: Add citation now

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  2. Commodity volatility breaks. (2012). Wohar, Mark ; Vivian, Andrew.
    In: Journal of International Financial Markets, Institutions and Money.
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  3. Hedging vs. speculative pressures on commodity futures returns. (2011). Paladino, Giovanna ; Cifarelli, Giulio.
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  6. The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market. (2009). Guan, Zhengfei ; Wu, Feng.
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  12. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES. (2005). Matringe, Olivier ; Guida, Tony.
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  13. A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios. (2005). Yoder, Jonathan ; Lee, Hsiang-Tai .
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  14. On the feasibility and desirability of GDP-indexed concessional lending. (2005). Tabova, Alexandra.
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  47. Stochastic Interest Rates and Price Discovery in Selected Commodity Markets. (1995). Fortenbery, T. Randall ; Zapata, Hector O..
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