A test of the intertemporal hedging model of the commodities futures markets

Article Abstract:

An intertemporal model based on the normal backwardation theory and applying the method of Hansen and Hodrick is presented. The approach implies that risk premium and futures prices are linked for long forecast horizons and assumes market efficiency. The method utilizes pooled data corrected for inefficiency due to residual correlation. Risk prememia are said to include a component that is constant and one that is price-dependent. Analysis indicates five commodity markets tested have significant constant risk premia, and four markets are also shown to have significant price-dependent premia, consistent with model predictions.

Commodity futures

---

Effect of institutional realities on dynamic hedging performance for a grain producer

Article Abstract:

Grain producers can minimize their risk by using hedging positions offered by the futures market. When a hedging position model precludes financial factors such as commissions and interest cost, the hedging model is called dynamic hedging. A dynamic hedging model in which institutional realities such as futures price fluctuations and uncertainty of production are major factors is presented.

Grain and field beans, Methods, Futures market, Futures markets, Grains, Futures, Grain

---

Hedging multiple price and quantity exposures

Article Abstract:

Research is presented concerning the difficulties faced by the manager of the global portfolio when hedging quantity and multiple price exposures. A general hedging model which takes account of multiple prices and quantities is discussed.

Investment Banking and Securities Dealing, Investment Banking, Security brokers and dealers, Research, Investment banks, Portfolio management, Spot market

Similar abstracts:

• Abstracts: Detecting and modeling changing volatility in the copper futures market. Modes of fluctuation in metal futures prices
• Abstracts: Effects of cultural context on the antecedents, correlates, and consequences of organizational commitment: a study of Russian workers
• Abstracts: Mexico toughens transfer pricing documentation requirements. Navigating key international tax provisions
• Abstracts: Organizing a program of private equity investment in Mexico. Tax ramifications of leasing property in Mexico
• Abstracts: Precision instrument industry. Supplementary reports

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.