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Hedging the portfolio of raw materials and the commodity under the mark-to-market risk

  • Published:2012-07 Issue:4 Volume:29 Page:1070-1075
  • ISSN:0264-9993
  • Container-title:Economic Modelling
  • language:en
  • Short-container-title:Economic Modelling

Author:

Fu Junhui,Zhang Wei-Guo,Yao Zheng,Zhang Xili

Funder

National Natural Science Foundation of China

Major Project of the National Social Science Foundation of China

GDUPS (2010)

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference19 articles.

1. Hedging long-term exposures with multiple short-term futures contracts;Neuberger;Review of Financial Studies,1999

2. The theory of hedging and speculation in commodity futures;Johnson;Review of Economic Studies,1960

3. The hedging performance of the new futures markets;Ederington;Journal of Finance,1979

4. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991

5. The economic value of minimum variance hedges;Lence;American Journal of Agricultural Economics,1995

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