|
|
|
|
|
| Haigh, Michael S.; Holt, Matthew T.. |
| In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncertainty for international grain traders. A theoretical model is developed for a representative European importer to depict a realistic trading problem encountered by an international grain trading corporation exposed to more than one type of price risk. The traditional method of estimating hedge ratios by Ordinary Least Squares (OLS) is compared to the Seemingly... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Hedging; Multivariate GARCH; Foreign exchange; Freight and commodity futures; Marketing; F3; C3; G1. |
| Ano: 1999 |
URL: http://purl.umn.edu/23997 |
| |
|
| |
|
|
|
