Data/hora: 10/06/2024 13:50:22

Provedor de dados: | 31
País: | United States
Título: | The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
Autores: | Wu,   Feng; Guan,   Zhengfei.
Data: | 2009-05-01
Ano: | 2009
Palavras-chave: | Volatility Spillover; GARCH; Optimal Hedge Ratio; Energy Price; Corn Price; Risk and Uncertainty.
Resumo: | This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover effects are time-varying. The business cycle proxied by crude oil prices is shown to affect the magnitude of spillover effects over time. Based on the strong informational linkage between energy market and corn market, a cross hedge strategy is proposed and its performance studied. The simulation outcomes show that compared to alternative strategies of no hedge, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês
Identificador: | http://purl.umn.edu/49453

Relação:

Agricultural and Applied Economics Association&gt;2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin

Selected Paper

613699

Formato: | 26