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

Journal of Futures Markets ◽

10.1002/fut.22118 ◽

2020 ◽

Vol 40 (7) ◽

pp. 1090-1108 ◽

Cited By ~ 1

Author(s):

Yingying Xu ◽

Donald Lien

Keyword(s):

Futures Hedging

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Regime Switching Fractional Cointegration and Futures Hedging

SSRN Electronic Journal ◽

10.2139/ssrn.1536362 ◽

2010 ◽

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Fractional Cointegration ◽

Futures Hedging

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Generalized autoregressive score model with high‐frequency data for optimal futures hedging

Journal of Futures Markets ◽

10.1002/fut.22254 ◽

2021 ◽

Author(s):

Yu‐Sheng Lai

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Futures Hedging ◽

Score Model

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

Energy Economics ◽

10.1016/j.eneco.2009.09.012 ◽

2010 ◽

Vol 32 (2) ◽

pp. 442-449 ◽

Cited By ~ 23

Author(s):

Chiao-Yi Chang ◽

Jing-Yi Lai ◽

I-Yuan Chuang

Keyword(s):

Energy Markets ◽

Hedging Effectiveness ◽

Futures Hedging

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Futures Hedging Under Price, Basis, and Production Risk

American Journal of Agricultural Economics ◽

10.2307/1243658 ◽

1994 ◽

Vol 76 (3) ◽

pp. 465-477 ◽

Cited By ~ 63

Author(s):

Harvey Lapan ◽

Giancarlo Moschini

Keyword(s):

Production Risk ◽

Futures Hedging

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Seasonal patterns of futures hedging and the resolution of output uncertainty

Journal of Economic Theory ◽

10.1016/0022-0531(91)90158-z ◽

1991 ◽

Vol 53 (2) ◽

pp. 304-327 ◽

Cited By ~ 5

Author(s):

David Hirshleifer

Keyword(s):

Seasonal Patterns ◽

Futures Hedging ◽

Output Uncertainty

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Optimal Futures Hedging in the Presence of Asymmetric Information

Journal of Futures Markets ◽

10.1002/fut.3990050407 ◽

1985 ◽

Vol 5 (4) ◽

pp. 595-605 ◽

Cited By ~ 10

Author(s):

Nabil T. Khoury ◽

Jean-Marc Martel

Keyword(s):

Asymmetric Information ◽

Futures Hedging

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Good Approximation of Exponential Utility Function for Optimal Futures Hedging

Journal of Mathematical Finance ◽

10.4236/jmf.2016.63036 ◽

2016 ◽

Vol 06 (03) ◽

pp. 457-463 ◽

Cited By ~ 10

Author(s):

Xu Guo ◽

Donald Lien ◽

Wing-Keung Wong

Keyword(s):

Utility Function ◽

Exponential Utility ◽

Futures Hedging ◽

Exponential Utility Function

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

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2009.02.013 ◽

2009 ◽

Vol 79 (10) ◽

pp. 3076-3088 ◽

Cited By ~ 3

Author(s):

Ming-Yuan Leon Li

Keyword(s):

Jump Diffusion ◽

Futures Hedging ◽

Diffusion Technique

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Copper Futures Hedging based on Markov switching approach

International Journal of Industrial and Systems Engineering ◽

10.1504/ijise.2021.10043159 ◽

2021 ◽

Vol 1 (1) ◽

pp. 1

Author(s):

Jiaxuan Chen

Keyword(s):

Markov Switching ◽

Futures Hedging

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Futures Hedging under Prospect Utility and Knightian Uncertainty

Belief Functions in Business Decisions - Studies in Fuzziness and Soft Computing ◽

10.1007/978-3-7908-1798-0_12 ◽

2002 ◽

pp. 333-345

Author(s):

Donald Lien

Keyword(s):

Knightian Uncertainty ◽

Futures Hedging

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