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Journal articles on the topic 'Fuel hedging'

Author: Grafiati

Published: 4 June 2021

Last updated: 15 February 2022

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1

Korkeamäki, Timo, Eva Liljeblom, and Markus Pfister. "Airline fuel hedging and management ownership." Journal of Risk Finance 17, no. 5 (November 21, 2016): 492–509. http://dx.doi.org/10.1108/jrf-06-2016-0077.

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Purpose The purpose of this paper is to study the value effects of hedging in the airline industry during a period of high volatility and high fuel costs. The authors also study the determinants of hedging in the airline industry, most importantly whether managerial ownership affects airlines’ tendency to hedge their fuel price risk. Design/methodology/approach This study’s research design follows closely previous studies in the area. This allows comparison of the results of this study to those reported earlier, and thus the authors can draw conclusions about the effects of the different market conditions during the sample period. Findings The authors find a positive relationship between hedging and firm value, but the relationship is weaker than what is reported in prior studies. The result appears driven by the early part of the sample, whereas in the latter half of the sample, when uncertainty and fuel price are higher, the hedging premium is smaller. The authors also find that hedging premium is larger for firms that follow passive hedging strategies and that managerial ownership increases the firms’ degree of hedging. Originality/value This study provides new results on the old question of whether hedging generates value in the airline industry. The recent period of high volatility and high fuel prices makes this an interesting question to re-visit.

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2

Adams, Zeno, and Mathias Gerner. "Cross hedging jet-fuel price exposure." Energy Economics 34, no. 5 (September 2012): 1301–9. http://dx.doi.org/10.1016/j.eneco.2012.06.011.

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3

Lim, Siew Hoon, and Yongtao Hong. "Fuel hedging and airline operating costs." Journal of Air Transport Management 36 (April 2014): 33–40. http://dx.doi.org/10.1016/j.jairtraman.2013.12.009.

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4

Hu, Rong, Yi-bin Xiao, and Changmin Jiang. "Jet fuel hedging, operational fuel efficiency improvement and carbon tax." Transportation Research Part B: Methodological 116 (October 2018): 103–23. http://dx.doi.org/10.1016/j.trb.2018.07.012.

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5

Morrell, Peter, and William Swan. "Airline Jet Fuel Hedging: Theory and Practice." Transport Reviews 26, no. 6 (November 2006): 713–30. http://dx.doi.org/10.1080/01441640600679524.

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6

Berghöfer, Britta, and Brian Lucey. "Fuel hedging, operational hedging and risk exposure — Evidence from the global airline industry." International Review of Financial Analysis 34 (July 2014): 124–39. http://dx.doi.org/10.1016/j.irfa.2014.02.007.

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7

Franken, Jason R. V., Scott H. Irwin, and Philip Garcia. "Biodiesel hedging under binding renewable fuel standard mandates." Energy Economics 96 (April 2021): 105160. http://dx.doi.org/10.1016/j.eneco.2021.105160.

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8

Swidan, Hassan, Rico Merkert, and Oh Kang Kwon. "Designing optimal jet fuel hedging strategies for airlines – Why hedging will not always reduce risk exposure." Transportation Research Part A: Policy and Practice 130 (December 2019): 20–36. http://dx.doi.org/10.1016/j.tra.2019.09.014.

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9

Giambona, Erasmo, and Ye Wang. "Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005." Review of Financial Studies 33, no. 11 (February 10, 2020): 5015–50. http://dx.doi.org/10.1093/rfs/hhaa015.

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Abstract This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we exploit a regulatory change that allows derivatives counterparties to circumvent the Bankruptcy Code’s automatic stay: the Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by airlines nearing financial distress (those that benefited most from the reform) significantly increased in comparison with financially sound airlines. We find that the hedging propensity similarly increased in a general sample of nonfinancial firms. In line with theory, we also find that operating performance increased for the affected firms.

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10

Merkert, Rico, and Hassan Swidan. "Making Fuel Hedging a Meaningful Strategy - The Case of Airlines." Academy of Management Proceedings 2016, no. 1 (January 2016): 15808. http://dx.doi.org/10.5465/ambpp.2016.15808abstract.

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11

Wang, Xiaoyu, and Chee-Chong Teo. "Integrated hedging and network planning for container shipping's bunker fuel management." Maritime Economics & Logistics 15, no. 2 (April 25, 2013): 172–96. http://dx.doi.org/10.1057/mel.2013.5.

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12

BANNAI, M., Y. TOMITA, Y. ISHIDA, T. MIYAZAKI, A. AKISAWA, and T. KASHIWAGI. "Risk hedging against the fuel price fluctuation in energy service business." Energy 32, no. 11 (November 2007): 2051–60. http://dx.doi.org/10.1016/j.energy.2007.05.003.

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13

Turner, Peter A., and Siew Hoon Lim. "Hedging jet fuel price risk: The case of U.S. passenger airlines." Journal of Air Transport Management 44-45 (May 2015): 54–64. http://dx.doi.org/10.1016/j.jairtraman.2015.02.007.

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14

Conley, Dennis M. "Hedging ratios and effectiveness for diesel fuel and gasoline the northern plains." Agribusiness 10, no. 4 (July 1994): 305–17. http://dx.doi.org/10.1002/1520-6297(199407/08)10:4<305::aid-agr2720100404>3.0.co;2-t.

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15

Bailey, Warren, and Annie Koh. "Hedging spot fuel oil in Singapore: Will the new SIMEX contract succeed?" Asia Pacific Journal of Management 7, no. 2 (December 1990): 97–107. http://dx.doi.org/10.1007/bf01951482.

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16

Lin, Xiaoqiang, Qiang Chen, and Zhenpeng Tang. "Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market." Economic Modelling 40 (June 2014): 81–90. http://dx.doi.org/10.1016/j.econmod.2014.03.022.

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17

Kar, Sujata, and Pulkit Khandelwal. "Cross-hedging aviation fuel price exposures with commodity futures: Evidence from the Indian aviation industry." IIMB Management Review 32, no. 4 (December 2020): 389–401. http://dx.doi.org/10.1016/j.iimb.2021.02.002.

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18

Kwon, Sang Jang, and Soo Jong Kwak. "Optimal Hedging Strategy with Natural Ga Futures and Options." Journal of Derivatives and Quantitative Studies 10, no. 1 (May 31, 2002): 29–53. http://dx.doi.org/10.1108/jdqs-01-2002-b0002.

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In this paper, we theoretically examine the optimal hedge strategy for a natural gas company. The use of natural gas derivatives to minimize consumers' per unit cost of natural gas consumed, or to minimize the upside risk associated with extreme bills would be the strategy being considered by local distribution companies (LDCs) and regulators. The objective is, therefore, to stabilize the summer and the winter months' natural gas prices as well as to improve the level of customers' welfare. In general, during the summer injection period, April through October, utility companies purchase a certain amount of natural gas and keep in storage facilities and, hence, during the winter withdrawal months, November through March, utility companies supply natural gas at a predetermined minimal fuel cost rate to residential and commercial customers. Therefore, to manage these conflicts of interests efficiently should natural gas companies be supported by accurate forecast of the natural gas price for the winter months. Otherwise, natural gas companies will trade natural gas derivatives in order to reduce costs charged to customers. The results show that customers benefit from the use of natural gas derivatives. If the natural gas market is deregulated, the typical risk-return trade off shows that natural gas derivatives would provide the most efficient tools for utility companies to minimize the natural gas price volatilities.

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19

Carnero, M., Jose Olmo, and Lorenzo Pascual. "Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS." Energies 11, no. 11 (November 14, 2018): 3148. http://dx.doi.org/10.3390/en11113148.

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This article studies the relationship between the prices of fuel and EU Allowances (EUA) for carbon emissions during Phase 3 of the European Union Emissions Trading System. We find that the forward prices of EUA, coal, gas and Brent oil are jointly determined in equilibrium. The existence of such a long-run relationship entails a permanent-transitory decomposition for the series of EUA and fuel prices that reveals the short- and long-term causal influence of the EUA market in shaping the joint dynamics of fuel prices. This result complements the literature that suggests that EUA prices are driven by the dynamics of fuel prices. Interestingly, we do not find an equilibrium relationship in the spot market. EUA and fuel spot prices are driven by independent unit root processes. The differences between spot and forward markets are attributed to the tradability of forward prices that are used for speculation and hedging in financial markets. In contrast, spot prices are mainly driven by supply and demand in energy markets.

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20

Han, Tzeu-Chen, and Chih-Min Wang. "Shipping Bunker Cost Risk Assessment and Management during the Coronavirus Oil Shock." Sustainability 13, no. 9 (April 29, 2021): 4998. http://dx.doi.org/10.3390/su13094998.

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This research explores ways to develop a risk management strategy that enables shipping companies to reduce unnecessary fuel cost risks, fuel price fluctuations and improve financial management. Through the Monte Carlo method, the study makes use of the simulation of the conditional value-at-risk (CVaR) model. First, the VaR of various shipping-fuel-cost combination over a ten-year period is simulated. Then, through the most appropriate probability distribution test, it is found that most of the VaR of shipping fuel cost combination are in Beta–Arcsine distribution. In other words, the high-frequency data are concentrated at both tails (minimum and maximum) with high volatility. Therefore, the best strategy is to install scrubbers on existing ships to purify their exhaust gas and choose natural gas-based marine fuel for new ships. This will benefit the shipping companies significantly more compared to the use of low-sulfur fuel and choosing forward bunker agreements. Bunker swaps and options of bunker prices to hedging the risk of bunker cost raised in the end of Coronavirus oil shock, the strategy could help achieve the goal of risk management in the sustainable supply chain.

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21

Palsson, Olafur P., and Hans F. Ravn. "Stochastic heat storage problem—solved by the progressive hedging algorithm." Energy Conversion and Management 35, no. 12 (December 1994): 1157–71. http://dx.doi.org/10.1016/0196-8904(94)90019-1.

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22

Naumann, M., L. Suhl, and M. Friedemann. "A Stochastic Programming Model for Integrated Planning of Re-fleeting and Financial Hedging Under Fuel Price and Demand Uncertainty." Procedia - Social and Behavioral Sciences 54 (October 2012): 47–55. http://dx.doi.org/10.1016/j.sbspro.2012.09.724.

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23

Beilin, I. L. "Management of industrial development of oil and gas region in conditions of high oil price volatility." Russian Journal of Industrial Economics 14, no. 1 (April 9, 2021): 63–75. http://dx.doi.org/10.17073/2072-1633-2021-1-63-75.

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The article observes the factors which infl uence oil price volatility in reproduction of oil caused by ambiguity of the OPEC Plus agreement in early March 2020 and intensifi ed by reduction of oil products consumption with the new coronavirus infection at the background. The authors point out that understanding of the process of managing an open futures position until its expiration date has positive effects on the trading effi ciency both in contango and backwardation situations. They also reveal that risks are the main constraining factor for derivative fi nancial tools of underlying assets in both commodity and stock markets. Oil and gas companies, whose income tax is an essential part of oil and gas regions’ budgets and whose mineral extraction tax and export duty go to the federal budget, require government support for hedging risks. The support should be provided by means of direct budget damper mechanisms or indirect measures such as stimulation of development of financial and industrial groups. They can possess enough investment potential for hedging risks of derivatives in conditions of high oil price volatility. The article presents cluster analysis of foreign economic activity of oil and gas regions of the Privolzhsky (Volga) Federal District. The activity is focused mainly on products of fuel and energy complex as well as chemicals, plastic and synthetic rubber. By means of simplex method the author developed the optimization isoline map for risks of changing future prices of oil derivatives, losses when covering a margin account to maintain ownership and risks connected with price volatility of the underlying asset.

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24

Herbert, John H. "The Natural Gas Futures Markets - is it Still Inefficient?" Energy Exploration & Exploitation 12, no. 5 (October 1994): 369–80. http://dx.doi.org/10.1177/014459879401200504.

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The natural gas futures market is fundamental to the current natural gas market both as means of price discovery and for price hedging. Thus, the informational efficiency of the futures market is an important issue. In this article we re-examine the informational efficiency of the natural gas futures market. In this re-examination several cash price series are considered. It is found that the natural gas futures market is informationally efficient for only one of the cash markets. The characteristics of the current natural gas market that might explain the estimated results are also discussed.

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25

Quitoras, Marvin Rhey, Pedro Cabrera, Pietro Elia Campana, Paul Rowley, and Curran Crawford. "Towards robust investment decisions and policies in integrated energy systems planning: Evaluating trade-offs and risk hedging strategies for remote communities." Energy Conversion and Management 229 (February 2021): 113748. http://dx.doi.org/10.1016/j.enconman.2020.113748.

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26

Xiao, Wei, Chuan Xu, Hongling Liu, and Xiaobo Liu. "A Hybrid LSTM-Based Ensemble Learning Approach for China Coastal Bulk Coal Freight Index Prediction." Journal of Advanced Transportation 2021 (May 25, 2021): 1–23. http://dx.doi.org/10.1155/2021/5573650.

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China Coastal Bulk Coal Freight Index (CBCFI) reflects how the coastal coal transporting market’s freight rates in China are fluctuated, significantly impacting the enterprise’s strategic decisions and risk-avoiding. Though trend analysis on freight rate has been extensively conducted, the property of the shipping market, i.e., it varies over time and is not stable, causes CBCFI to be hard to be accurately predicted. A novel hybrid approach is developed in the paper, integrating Long Short-Term Memory (LSTM) and ensemble learning techniques to forecast CBCFI. The hybrid LSTM-based ensemble learning (LSTM-EL) approach predicts the CBCFI by extracting the time-dependent information in the original data and incorporating CBCFI-related data, e.g., domestic and overseas thermal coal spot prices, coal inventory, the prices of fuel oil, and crude oil. To demonstrate the applicability and generality of the proposed approach, different time-scale datasets (e.g., daily, weekly, and monthly) in a rolling forecasting experiment are conducted. Empirical results show that domestic and overseas thermal coal spot prices and crude oil prices have great influences on daily, weekly, and monthly CBCFI values. And in daily, weekly, and monthly forecasting cases, the LSMT-EL approaches have higher prediction accuracy and a greater trend complying ratio than the relevant single ensemble learning algorithm. The hybrid method outperforms others when it works with information involving a dramatic market recession, elucidating CBCFI’s predictable ability. The present work is of high significance to general commerce, commerce-related, and hedging strategic procedures within the coastal shipping market.

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27

Nekhili, Ramzi. "Are bitcoin futures contracts for hedging or speculation?" Investment Management and Financial Innovations 17, no. 3 (July 14, 2020): 1–9. http://dx.doi.org/10.21511/imfi.17(3).2020.01.

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The emerging interest in Bitcoin futures market has led to questions on its trading form and contribution to risk minimization. These questions are important for market participants, including hedgers and speculators. This paper addresses the possible trading motive in Bitcoin futures market in being speculation or hedging. The author first tests a model relating Bitcoin futures returns with trading volume and conditional volatility, estimated with a GJR-GARCH specification, on a full sample of daily futures prices. A robustness check is then conducted by investigating the hedging effectiveness of Bitcoin futures and the speculation-hedging ratios on individual Bitcoin futures contracts. The estimation results on Bitcoin futures contracts, spanning from December 2017 to February 2020, show a significant positive relationship between futures returns and lagged volume. The speculation-hedging measures used for Bitcoin futures contracts maturing in March, June, September, and December reveal an increasing demand for speculation. Also, the Bitcoin spot’s full-hedge and OLS-hedge strategies with Bitcoin futures provide no gain over a no-hedge strategy. The results reveal strong evidence that traders in the Bitcoin futures market are motivated by speculation rather than hedging. This further puts in evidence the existence of asymmetric information within informed traders in Bitcoin futures market, and therefore market participants would not insure their positions against Bitcoin price movements.

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28

Shoshanov, S. B., S. S. Makhanov, and L. N. Salykova. "ORGANIZATION OF REFINED PRODUCTS SALES IN KAZAKHSTAN." BULLETIN 389, no. 1 (February 10, 2021): 194–201. http://dx.doi.org/10.32014/2021.2518-1467.26.

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The article presents the main theoretical and methodological approaches to the sale of refined products. The views of scientists and economists on the sales of refined products and its categories are considered. Organization schemes of petroleum products sales on domestic and world markets, multilevel marketing system, routes of product movement (logistics chain of product movement) have been substantiated. The main documents (futures), risk insurance (hedging), planning the organization of sales of petroleum products, the impact of marketing programs on the choice of sales channel are considered. The article presents the formation of sales channels for petroleum products in vertically integrated oil companies. The tasks for timely provision of consumers with petroleum products have been clarified. The optimal choice of efficient schemes for cargo transportation of refined products, logistics schemes for their transportation and temporary storage, and rationality of transit forms of delivery of oil products to consumers are indicated. The main goals of achieving optimal sales systems for petroleum products by vertically integrated oil companies are revealed. The possibility of having special divisions for the sale and export of refined products by large oil companies is justified. The analysis of indicators of demand and supply of petrochemical products on the world markets with the author's positions on the current situation on the world oil markets in connection with the coronavirus pandemic. The analysis and assessment of production and consumption of basic petroleum products on the domestic markets of Kazakhstan is given. As a separate example, the analysis of diesel fuel consumption by regions and sectors of the national economy of Kazakhstan was carried out.

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29

ALGHALITH, MOAWIA, and WING-KEUNG WONG. "WELFARE GAINS FROM MACRO-HEDGING." Annals of Financial Economics 15, no. 02 (June 2020): 2050009. http://dx.doi.org/10.1142/s2010495220500098.

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Macro-hedging is one of the most important issues in hedging, but there are very few studies on the welfare impact of macro-hedging. To bridge a gap in the literature of macro-hedging, this paper introduces a method that generalizes and extends existing models of macro-hedging in several significant ways. We first assume the existence of basis risk in a small country to hedge in futures markets instead of forward contracts and relax the full-hedging assumption. We use the quantity being hedged in futures contracts as a decision variable. We also relax the restrictive assumption regarding the form of the spot price. We then derive the formula to estimate the welfare gain which can be easily implemented in any empirical case. In contrast to quasi-simulation being used in some existing approaches, our proposed method can be used for any real data, including future data, but existing methods in the literature cannot. Our approach is for investors for their investment decision-making when they use macro-hedging as their trading strategy.

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30

Broll, Udo, and Kit Pong Wong. "Optimal full-hedging under state-dependent preferences." Quarterly Review of Economics and Finance 42, no. 5 (January 2002): 937–43. http://dx.doi.org/10.1016/s1062-9769(01)00121-1.

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31

Bonetti, Daniel, Dorival Leão, Alberto Ohashi, and Vinícius Siqueira. "A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility." International Journal of Stochastic Analysis 2015 (February 8, 2015): 1–21. http://dx.doi.org/10.1155/2015/863165.

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We propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to arbitrary square-integrable claims in incomplete markets. In contrast to previous works based on PDE and BSDE methods, the main merit of our approach is the flexibility of quadratic hedging in full generality without a priori smoothness assumptions on the payoff. In particular, the methodology can be applied to multidimensional quadratic hedging-type strategies for fully path-dependent options with stochastic volatility and discontinuous payoffs. In order to demonstrate that our methodology is indeed applicable, we provide a Monte Carlo study on generalized Föllmer-Schweizer decompositions, locally risk minimizing, and mean variance hedging strategies for vanilla and path-dependent options written on local volatility and stochastic volatility models.

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32

Faseruk, Alex, and Dev R. Mishra. "An examination of US dollar risk management by Canadian non‐financial firms." Management Research News 31, no. 8 (June 20, 2008): 570–82. http://dx.doi.org/10.1108/01409170810892136.

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PurposeThe purpose of this paper is to examine the impact of US dollar exchange rate risk on the value of Canadian non‐financial firms.Design/methodology/approachThe sample, from the Compustat database, includes all non‐financial Canadian firms with sales over $100 million. The study segregates firms into hedging and non‐hedging groups and applies statistical techniques to test if hedging enhances value.FindingsThe results demonstrate that Canadian firms that have higher levels of US$ sales tend to use derivatives more frequently through higher levels of US$ exposure. Firms that have both US sales and assets appear less likely to use hedging. Firms with an American subsidiary and use financial instruments to hedge have higher values. When operational hedging is used with financial hedging, it is a value enhancing activity increasing their market‐to‐book by 14 per cent and market value‐to‐sales by 40 per cent. Incremental impact of these two hedging strategies is to enhance value by 7 per cent.Research limitations/implicationsThe sample from Compustat captures large capitalization Canadian firms but ignores about 75 per cent of Canadian firms. There is a bias towards larger firms. Some hedging items are not disclosed on financial statements. A survey would enhance and complement these results.Practical implicationsThe paper finds that it is important for Canadian firms that have exports denominated in US dollars to hedge their exposure. The full value of hedging is reaped by using both operational and financial hedges.Originality/valueThis study is the first that examines US dollar risk management by Canadian firms.

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33

Franken, Jason R. V., and Joe L. Parcell. "Cash Ethanol Cross-Hedging Opportunities." Journal of Agricultural and Applied Economics 35, no. 3 (December 2003): 510–16. http://dx.doi.org/10.1017/s1074070800028248.

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Increased use of alternative fuels and low commodity prices have contributed to the recent expansion of the U.S. ethanol industry. As with any competitive industry, some level of output price risk exists in the form of volatility; yet, no actively traded ethanol futures market exists to mitigate output price risk. This study reports estimated minimum variance cross-hedge ratios between Detroit spot cash ethanol and the New York Mercantile Exchange unleaded gasoline futures for 1-, 4-, 8-, 12-, 16-, 20-, 24-, and 28-week hedge horizons. The research suggests that a one-to-one cross-hedge ratio is not appropriate for some horizons.

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34

Mikolaychik, Margarita. "Lexical Hedging in English Abstracts of Russian Research Articles on Economics: A Corpus-Based Study." Vestnik Volgogradskogo gosudarstvennogo universiteta. Serija 2. Jazykoznanije, no. 5 (January 2021): 38–47. http://dx.doi.org/10.15688/jvolsu2.2020.5.4.

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An important area of academic English competence, the use of hedges in various regional varieties of English, has been the subject of numerous cross-cultural studies worldwide. However, hedging in the Russian variety of English as an academic lingua franca remains largely under-researched. This paper reports the results of a corpus-based study of lexical hedges in English abstracts of 200 Russian research articles published over the past few years in the leading national Journals of Economics. The data obtained in this research are compared to the findings of an earlier similarly designed study of British and American abstracts, shedding light on the peculiarities of lexical hedging use by Russian authors. Quantitative corpus linguistics methods are used, notably statistical analysis of corpus frequency data based on Dunning's log-likelihood test. Our analysis shows that although Russian economics research writers employ quite a wide range of lexical hedging devices – largely over 70% – coinciding with those used by native English writers, they use most categories of lexical hedges (modal verbs, adverbials, quantifiers and full verbs) less frequently while employing hedging nouns more frequently than their British and American counterparts. The findings can be useful for further research into hedging in the abstracts of scientific articles on other disciplines as well as for teaching English research abstract writing to Russian speakers.

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35

Widiyanti, Novi Wulandari. "KARATERISTIK DAN MEKANISME PERDAGANGAN CONTRACT FOR DIFFERENCE (CFD) SEBAGAI ALTERNATIF INVESTASI KEUANGAN (Studi Kasus Pada Pasar Derivatif di Australia)." JURNAL AKUNTANSI UNIVERSITAS JEMBER 8, no. 1 (March 31, 2015): 25. http://dx.doi.org/10.19184/jauj.v8i1.1220.

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The paper exploresthe nature of CFDs as a derivative and CFDs as hedging instrumentin derivatif markets in Australia. It argues that CFDis leveraged instrument, which means they offer the potential to make a higher return from a smaller initial investment relative to the total position value. Using CFD, we can obtain full exposure to a share or commodity for a fraction of the price of buying the underlying asset. The higher percentage return from the CFD demonstrates how leverage can work. The writer presents two parts in describing CFD’s nature and trading mechanism which are:the nature of the CFDs, which include CFDs’ characteristics and how they are traded. This part will focus on equity CFDs which underlying instrument is stocks. The second part will be an application of delta neutral hedging of long stock position by using and option compare to CFDs. Keywords: derivatif instrument, CFD, underlying asset, hedging, long position, short position

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36

Arfaoui, Mongi, and Aymen Ben Rejeb. "Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?" International Journal of Management and Economics 46, no. 1 (June 1, 2015): 72–100. http://dx.doi.org/10.1515/ijme-2015-0022.

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Abstract This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies.) Moreover, this conclusion holds for all countries in all three models.

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37

Kifle, Henok. "The Impact of Regulation on Corporate Hedging Activities and the Response of Corporates – A Preliminary Conceptual Framework." Business and Management Research 6, no. 4 (October 30, 2017): 1. http://dx.doi.org/10.5430/bmr.v6n4p1.

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Following the financial crisis of 2007/2008 regulators intensified the regulation of financial derivatives through (i) the implementation of the European Markets Infrastructure Directive (EMIR) to increase transparency of over-the-counter (OTC) derivatives and (ii) the implementation of Basel III to increase capital underpinning. Non-financial corporates, who mainly hedge with OTC derivatives, are seeing tendencies of increasing costs and decreasing availability of required OTC derivatives but fail to have a full concept of the impact and possible responses to manage the impact. Also, theoretical research did not consider reguation as an influencing factor and thus does not offer theories to analyse the impact of regulation on corporate hedging activities (defined as the willingness and ability of NFCs to conduct hedging in an optimal way). Given this gap, this paper reviews existing theories and based on that pre-conceptualises a model that helps to analyse the impact of regulation on corporate hedging activities and provides a preliminary conceptual framework that includes corporate responses to manage the regulatory impact.

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38

Timková, Monika, and Michal Šoltés. "Managing the equity risk using Short Put Ladder strategy by barrier options." Investment Management and Financial Innovations 16, no. 4 (December 3, 2019): 133–45. http://dx.doi.org/10.21511/imfi.16(4).2019.12.

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The main aim of the paper is to measure hedging efficiency using the Short Put Ladder strategy formed by barrier options in the equity market. The researchers hedge full protection against price’s drop, combining the European down and knock-in put options with the lowest exercise price and vanilla or barrier put options with the higher exercise prices. The authors chose the analyzed alternatives according to the requirement of the zero-cost strategy. The aim of the investigated hedging variants is to secure the minimum constant selling price for the underlying asset’s price drop. Theoretical results of this approach were applied in the equity market, i.e., SPDR S&amp;P 500 ETF. The authors analyzed and compared all hedging variants to each other, however, only the selected techniques were presented in the paper. The findings reveal that the barrier options used for managing the equity risk produce significant reductions of that risk. The right combination of options with the strike prices and the barrier levels wisely selected plays a significant role in risk elimination. Finally, according to the findings, the recommendations for potential investors are introduced.

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Hilliard, Jimmy E., and Susan D. Jordan. "Hedging Interest Rate Risk with Futures Portfolios Under Full-Rank Assumptions." Journal of Financial and Quantitative Analysis 24, no. 2 (June 1989): 217. http://dx.doi.org/10.2307/2330773.

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Šuklje, Katja, Helena Baša Česnik, Lucija Janeš, Veronika Kmecl, Andreja Vanzo, Alain Deloire, Paolo Sivilotti, and Klemen Lisjak. "The effect of leaf area to yield ratio on secondary metabolites in grapes and wines of Vitis vinifera L. cv. Sauvignon Blanc." OENO One 47, no. 2 (June 30, 2013): 83. http://dx.doi.org/10.20870/oeno-one.2013.47.2.1546.

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<p style="text-align: justify;"><strong>Aim</strong>: To investigate the effect of reducing leaf area by shoot hedging in combination with bunch thinning on metabolite concentration and sensorial quality of Sauvignon blanc grapes and wines.</p><p style="text-align: justify;"><strong>Methods and results</strong>: Four vine treatments were conducted: shoot hedging/bunch thinning (SH/BT), shoot hedging/no bunch thinning (SH/NBT), full canopy/bunch thinning (FC/BT) and full canopy/no bunch thinning (FC/NBT). Shoot hedging delayed total soluble solids accumulation at the beginning of the grape maturation in SH/BT and SH/NBT treatments. At harvest there were no significant differences in the concentration of hydroxycinnamoyl tartaric acids, glutathione, total soluble solids, titratable acidity and pH value in grape juice between all treatments and methoxypyrazines were below the limit of detection. Lutein concentration in grape berry was higher in treatments without bunch thinning, while there was no significant difference in the concentration of β-carotene and neoxanthin. The highest leaf area to yield ratio (FC/BT) resulted in higher concentration of glutathione in must and higher concentration of thiols in Sauvignon blanc wines. Upon sensory evaluation, the FC/BT wine was best scored for overall quality and heavier tropical aroma, whereas the FC/NBT wine was best scored for fresh tropical aroma and second best for overall quality.</p><p style="text-align: justify;"><strong>Conclusion</strong>: Leaf area to yield ratio impacted berry ripening kinetics, grape and wine metabolite composition, and sensorial properties of Sauvignon blanc wine.</p><p style="text-align: justify;"><strong>Significance and impact of the study</strong>: The study showed that the highest leaf area to yield ratio resulted in the best overall sensorial quality of wine.</p>

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Toronjadze, T. "Strong Innovation and its Applications to Information Diffusion Modelling in Finance." gmj 9, no. 2 (June 2002): 383–402. http://dx.doi.org/10.1515/gmj.2002.383.

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Abstract We consider the mean-variance hedging and utility maximization problems under partial information for diffusion models of the stock price process. The special feature of this paper is that we construct a strong innovation process for the stock price process which allows us to reduce the partial information case to the full information one.

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McAleer, Michael. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model." Journal of Risk and Financial Management 12, no. 2 (April 16, 2019): 66. http://dx.doi.org/10.3390/jrfm12020066.

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Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to remain constant using high frequency data, so it is essential to specify dynamic covariance models. These values can either be determined analytically or numerically on the basis of highly advanced computer simulations. Analytical developments are occasionally promulgated for multivariate conditional volatility models. The primary purpose of the paper is to analyze purported analytical developments for the most widely-used multivariate dynamic conditional covariance model to have been developed to date, namely the Full BEKK model, named for Baba, Engle, Kraft and Kroner. Dynamic models are not straightforward (or even possible) to translate in terms of the algebraic existence, underlying stochastic processes, specification, mathematical regularity conditions, and asymptotic properties of consistency and asymptotic normality, or the lack thereof. The paper presents a critical analysis, discussion, evaluation and presentation of caveats relating to the Full BEKK model, and an emphasis on the numerous dos and don’ts in implementing the Full BEKK and related non-Diagonal BEKK models, such as Triangular BEKK and Hadamard BEKK, in practice.

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Ilmanen, Antti, Ashwin Thapar, Harsha Tummala, and Dan Villalon. "Tail Risk Hedging: Contrasting Put and Trend Strategies." Journal of Systematic Investing 1, no. 1 (February 23, 2021): 111–24. http://dx.doi.org/10.52354/jsi.1.1.vi.

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We summarize key research findings on risk-mitigating strategies and offer an overview of the strengths and weaknesses of regular index put buying (“Put”) and multi-asset trend following (“Trend”) as tail hedges. The two biggest questions we address are: (1) What is the long-term average return or cost, and (2) How reliable and efficient is the hedge in equity market tail events? We present empirical answers and discuss the economic rationale for each question. The common view that Put costs more but is a more effective tail hedge contains a kernel of truth but does not capture the full story. We will give a more nuanced picture, including practicality for investors, but in the end show the cost advantage favors Trend over Put.

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Doyle, Daniel, and Chris Groendyke. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees." Risks 7, no. 1 (December 23, 2018): 1. http://dx.doi.org/10.3390/risks7010001.

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This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for the fair value of these liabilities to converge. This computational requirement worsens when Greeks must be calculated to hedge the liabilities of these guarantees. A feedforward neural network is a universal function approximator that is proposed as a useful machine learning technique to interpolate between previously calculated values and avoid running a full simulation to obtain a value for the liabilities. We propose methodologies utilizing neural networks for both the tasks of pricing as well as hedging four different varieties of variable annuity guarantees. We demonstrated a significant efficiency gain using neural networks in this manner. We also experimented with different error functions in the training of the neural networks and examined the resulting changes in network performance.

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Ajaib, Muhammad, Muhammad Ishtiaq, Khizar Hayat Bhatti, Iqbal Hussain, Mehwish Maqbool, Tanveer Hussain, Waheeda Mushtaq, et al. "Inventorization of traditional ethnobotanical uses of wild plants of Dawarian and Ratti Gali areas of District Neelum, Azad Jammu and Kashmir Pakistan." PLOS ONE 16, no. 7 (July 29, 2021): e0255010. http://dx.doi.org/10.1371/journal.pone.0255010.

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Background An ethnobotanical expedition was conducted to document the traditional ethnobotanical (TEB) uses of wild flora of Dawarian and Ratti Gali villages of District Neelam, Azad Jammu and Kashmir (AJK) Pakistan. District Neelam has rich plant diversity and is hub of many endemic plant species while the study areas are not yet explored. The research area: Dawarian and Rati Gali (DRG) area is mountaineous terrain and villages are located on far and farther distances. DRG area has rich biocultural and plant diversity comprising of different ethnic groups of Kashmir state. The current research was aimed to explore and document traditional medicines (TEMs) and other domestic and commercial uses of wild plants. This study will assist to evaluate conservation and commercial worth of wild flora which can be potential candidate for drug discovery through ethnopharmacological analysis. Methods The current quantitative ethnobotanical research was carried out in 2018 by interviewing 150 indigenous informants (90 male and 60 female) of DRG area using questionnaire applying structured and semi structured interview methodology. Data analysis was analyzed by using quantitative ethnobotanical statistical tools such as fidelity level (FL), informant consensus factor (ICF), Spearman’s rank correlation (SRC) and data matrix ranking (DMR). Results The indigenous people of DRG area use wild plants in their daily life to cope life necessities i.e. food, vegetables, fodder, fuel, shelter, timber and herbal medicines. TEMs are primarily used to cure different infirmities like diabetics, asthma, dysentery, constipation, cold, fever, joint pain, wound healing, cancer, cardiovascular disorders, epilepsy, kidney infections and many types of skin diseases. Current study revealed the data of 103 wild plants species belonging to 46 plant families from selected areas of District Neelum, AJK. Results depicted that Asteraceae ranked 1st (12 plants spp). Among plant parts used leaf ranked 1st (18%), followed by seed (17%) and root (13%). While prevalent form recipe mode was decoction (20%), followed by powder (17%) and extract (14%) and fodder was highest (37%) EB use-form fodder, followed by food (32%) and fuel (17%). Quantitative ethnobotanical analysis (QEA) was carried to find the reliability and novelty of the study. Five plant species including Berberis lyceum (FL = 97.78%), Isodon rugosus (FL = 95.71%), Saussurea lappa (FL = 94.74%), Aconitum heterophyllum (FL = 92.71%) and Taxus baccata (91.58%) had shown high fidelity level which confirmed that these plants have high medicinal worth in study area. The highest value (0.94) of ICF was for diseases group “tuberculosis and leucorrhea”, followed by stomachache and flatulence (0.93), diabetics and blood pressure (0.92) and asthma and chest infections (0.88). For other uses fuel with ICF (0.83) ranked first and second was hedging and thatching (ICF = 0.82) where people use plants or their parts for construction. Spearman’s rank correlation (SRC) test indicated that number of TEB uses increases if number of species is increased. Jaccard index (JI) analysis depicted that 56.31% plants are being used as TEMs which are first time explored from the study area. While 26.21% plants are being used in different TEB uses which are different from past cited literature. These novel findings of research indicate that wild flora of the study area has great potential for novel drug discovery and provision of materialist services for the indigenous communities. Conclusion The present research revealed that TEMs uses of 58 plants are novel being first time reported from the study area (DRG) of District Neelam of AJK. The results showed that plants like Acer cappadocicum, Ajuga bracteosa and Swertia paniculata are used to cure diabetes, Viscum album, Viola canescens, Taxus baccata are used for cure of cancer, Isodon rugosus, Polygala chinensis are used in TEMs for treating cardiovascular disorders and Anaphalis triplinervis is used for epilepsy. Berberis lyceum, Ajuga bracteosa, Aconitum heterophyllum, Bistorta amplexicaule, Saussurea lapa and Jurinea dolomiaea are severely threatened and there is urgent need to do conservation measures for available of valuable MPs to the indigenous communities for life necessities and for future research. The current study will also be useful addition in ethnobotanical database, preservation of traditional culture and drug discovery and drug development through future ethnopharmacological research.

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Flore, J. A., and D. R. Layne. "ORCHARD DESIGN OF SOUR CHERRY IS YIELD RELATED TO LIGHT INTERCEPTION?" HortScience 25, no. 9 (September 1990): 1135a—1135. http://dx.doi.org/10.21273/hortsci.25.9.1135a.

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The objective of this experiment was to design orchard systems and tree shapes that optimize production based upon light interception. `Montmoreney' on `Mahaleb' rootstock was established at the Clarksville Horticultural Research Station in 1982. The following factors were investigated: a) tree shape; free form, Δ triangle and • rectangle, b) tree height to clear alleyway width ratios; 1.5, 2.0 and 2.5, and c) tree density 3.0×4.5 m, 3.0×6.0 m. Tree shape was established beginning in the 3rd leaf by summer hedging on an annual basis at the end of stage II of fruit growth. Beginning with the 4th leaf, light interception in each system was estimated by measuring the light interception below the canopy at hourly intervals after full canopy development. In 1989, yields ranged from 14,000 to 22,000 Kg ha-1. Ripening was delayed for rectangle shaped trees, with a height to clear alleyway, width ratio of 1.5, spaced 3.0×4.5 m, likely because hedging reduced leaf to fruit ratios. Within a tree form, yield was linearly related to % light interception, however rectangular trees were more productive than triangle shaped trees. The relevance of this study to orchard design will be discussed.

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Widiawati, Yogi. "Hedges in Scientific EFL Writing." Lingual: Journal of Language and Culture 5, no. 1 (June 6, 2018): 12. http://dx.doi.org/10.24843/ljlc.2018.v05.i01.p02.

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The main purpose of the academic writing is to inform other researchers about writers’ findings in certain research. In this case, writer will propose claims. For non-native English speaker like Indonesian, this is the tough work to do. L2 learners find difficulty to write for academic purposes or make claims. One of the strategies that L2 learners do is by using hedging devices. Hedges are used to present findings cautiously with leaving room for readers to have their own interpretation. This argument is also supported by Ken Hyland (1996) stated that academic writing is full of hedges. This study aims to find the hedges in academic writing used by Indonesian researchers or writers. According to Levinson (1987) with his theory of FTA (Face Treathening Act), those words mostly function as a tool for speakers or writers to make them comfortable and save negative face. It means that the writers should choose the correct words to achieve the communicative goal. The data is taken from 10 dissertations written in English. The method used is decriptive-qualitative analysis. The study focuses on 2 kinds of hedging strategies proposed by Hyland (1996). They are writer-oriented hedges and reader-oriented hedges. The first strategy consists of (1) passive voice, (2) dummy subjects, and (3) abstract rhetors. The latter consists of (1) personal attribution and (2) conditionals. The results reveal that writer-oriented hedges are the most frequent hedging device utilized by Indonesian researchers, such as: passive construction and dummy subjects. The conclusion of this study is that the use of passive constructions and modality (can, may, might, should) are highly desireable by Indonesian researchers. It means that Indonesians like to let the data talk by themselves in order to avoid a potential conflict and hence to maintain the harmony between writers and readers.

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Melon-Galvez, Susana. "INTERTEXTUALITY AND THE HEDGING SYSTEM OF THE FILIPINO ENGINEERING STUDENTS: PRACTICES AND PEDAGOGY." International Journal of Education 9, no. 2 (February 24, 2017): 149. http://dx.doi.org/10.17509/ije.v9i2.5479.

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Communicators must have a ‘pact’; right idea, equals the ‘right words’. Although text is taken wholly to get to the meaning, every word contributes to the message sent for a powerful effect to the receiver. For language to work, participants must therefore be in full control of the words to be used. How these words are framed or intertextualized brings the hedging system of the ESP students. To achieve precision in ESP writing is not simply done by stringing words. To effectively communicate, there are underlying principles to apply to improve constant human interaction. In order to maintain such relationship in the technical world, each participant must not totally eradicate the ‘feeling’ to get across to the meaning. The study aimed at finding out the use of hedges and the effects of task types caused by framing of ideas and whether these hedges were significant to Filipino ESP writers. Common practices were identified as well as some pedagogical implications in the writing of technical discourses. Using introspection and contextual analysis, the researcher was able to analyze hedges varying from words, phrases, to clauses. The researcher found nonsensicality in intextualizing ESP texts and had no bearing on the hedging system of the ESP writers.

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Des Marteaux, Lauren E., and Rebecca H. Hallett. "Swede midge (Diptera: Cecidomyiidae) diapause initiation under stable conditions: not a family affair." Canadian Entomologist 151, no. 04 (June 7, 2019): 465–74. http://dx.doi.org/10.4039/tce.2019.33.

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AbstractLarvae of the swede midge, Contarinia nasturtii (Kieffer) (Diptera: Cecidomyiidae), rely on environmental cues to initiate the diapause programme. This facultative diapause strategy, which provides opportunities for both bet hedging and multivoltinism, likely contributed to the successful colonisation and spread of this invasive pest in North America. Population diapause incidence is variable even under relatively stable conditions (especially at the critical day length), yet the mechanisms influencing the developmental trajectory of individuals under such conditions are unknown. Here we approach the non-environmental (i.e., heritable) controls of this variation by comparing diapause frequencies within and among full-sibling swede midge families reared in one of two stable environments. Under warm, long-day conditions > 99% of swede midges pupated directly, while 86% of swede midges entered diapause under cool, short-day conditions. In the latter condition, most families exhibited mixed developmental trajectories (ranging from 36% to 96% diapause). This developmental variation among siblings indicates that the diapause induction threshold does not follow simple Mendelian inheritance with complete dominance for a particular allele, but may follow incomplete dominance or a more complex heredity. Alternatively, within-family diapause variation may result from maternal bet hedging or factors such as maternal age or larval nutrition.

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Socgnia, Virginie Konlack, and Olivier Menoukeu Pamen. "A maximum principle for controlled stochastic factor model." ESAIM: Control, Optimisation and Calculus of Variations 24, no. 2 (January 26, 2018): 495–517. http://dx.doi.org/10.1051/cocv/2017053.

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In the present work, we consider an optimal control for a three-factor stochastic factor model. We assume that one of the factors is not observed and use classical filtering technique to transform the partial observation control problem for stochastic differential equation (SDE) to a full observation control problem for stochastic partial differential equation (SPDE). We then give a sufficient maximum principle for a system of controlled SDEs and degenerate SPDE. We also derive an equivalent stochastic maximum principle. We apply the obtained results to study a pricing and hedging problem of a commodity derivative at a given location, when the convenience yield is not observable.

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