Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista de Economia (Curitiba. Online) |
Texto Completo: | https://revistas.ufpr.br/economia/article/view/27533 |
Resumo: | Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices series, comparing the results with the minimum variance model effectiveness, calculated by OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic hedge model is superior and can be used by farmers for several decision making purposes such as price discovery, hedging calibration, cash flow projections, market timing, among others. |
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Revista de Economia (Curitiba. Online) |
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Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk ModelDynamic hedge; minimum variance; soybeans; Mato Grosso.Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices series, comparing the results with the minimum variance model effectiveness, calculated by OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic hedge model is superior and can be used by farmers for several decision making purposes such as price discovery, hedging calibration, cash flow projections, market timing, among others.UFPRCaldarelli, Carlos EduardoSouza, Waldemar Antônio da Rocha de2011-12-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.ufpr.br/economia/article/view/2753310.5380/re.v37i3.27533Revista de Economia; v. 37, n. 3 (2011)2316-93970556-578210.5380/re.v37i3reponame:Revista de Economia (Curitiba. Online)instname:Universidade Federal do Paraná (UFPR)instacron:UFPRporhttps://revistas.ufpr.br/economia/article/view/27533/18340info:eu-repo/semantics/openAccess2012-07-03T18:01:58Zoai:revistas.ufpr.br:article/27533Revistahttps://revistas.ufpr.br/economiaPUBhttps://revistas.ufpr.br/economia/oaire@ufpr.br2316-93970556-5782opendoar:2012-07-03T18:01:58Revista de Economia (Curitiba. Online) - Universidade Federal do Paraná (UFPR)false |
dc.title.none.fl_str_mv |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
title |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
spellingShingle |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model Caldarelli, Carlos Eduardo Dynamic hedge; minimum variance; soybeans; Mato Grosso. |
title_short |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
title_full |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
title_fullStr |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
title_full_unstemmed |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
title_sort |
Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model |
author |
Caldarelli, Carlos Eduardo |
author_facet |
Caldarelli, Carlos Eduardo Souza, Waldemar Antônio da Rocha de |
author_role |
author |
author2 |
Souza, Waldemar Antônio da Rocha de |
author2_role |
author |
dc.contributor.none.fl_str_mv |
|
dc.contributor.author.fl_str_mv |
Caldarelli, Carlos Eduardo Souza, Waldemar Antônio da Rocha de |
dc.subject.por.fl_str_mv |
Dynamic hedge; minimum variance; soybeans; Mato Grosso. |
topic |
Dynamic hedge; minimum variance; soybeans; Mato Grosso. |
description |
Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices series, comparing the results with the minimum variance model effectiveness, calculated by OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic hedge model is superior and can be used by farmers for several decision making purposes such as price discovery, hedging calibration, cash flow projections, market timing, among others. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-12-31 |
dc.type.none.fl_str_mv |
|
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revistas.ufpr.br/economia/article/view/27533 10.5380/re.v37i3.27533 |
url |
https://revistas.ufpr.br/economia/article/view/27533 |
identifier_str_mv |
10.5380/re.v37i3.27533 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://revistas.ufpr.br/economia/article/view/27533/18340 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
UFPR |
publisher.none.fl_str_mv |
UFPR |
dc.source.none.fl_str_mv |
Revista de Economia; v. 37, n. 3 (2011) 2316-9397 0556-5782 10.5380/re.v37i3 reponame:Revista de Economia (Curitiba. Online) instname:Universidade Federal do Paraná (UFPR) instacron:UFPR |
instname_str |
Universidade Federal do Paraná (UFPR) |
instacron_str |
UFPR |
institution |
UFPR |
reponame_str |
Revista de Economia (Curitiba. Online) |
collection |
Revista de Economia (Curitiba. Online) |
repository.name.fl_str_mv |
Revista de Economia (Curitiba. Online) - Universidade Federal do Paraná (UFPR) |
repository.mail.fl_str_mv |
re@ufpr.br |
_version_ |
1797067452925870080 |