Jumping hedges: an examination of movements in copper spot and futures markets
Article Abstract:
Data from futures prices is made use of for an analysis of optimal hedging behavior for agents in copper markets. A bivariate Generalized Auto Regressive Conditional Heteroscedasticity jump model with autoregressive jump intensity is advanced and discussed.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
Primary copper, Copper ores, Copper industry
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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Structurally sound dynamic index futures hedging
Article Abstract:
A dynamic hedging algorithm, which is based on the reverse order of CUSUM-squared (ROC) testing procedure, is proposed.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: United States, Analysis, Hedging (Finance), Futures market, Futures markets
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