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Volumn 22, Issue 1, 2002, Pages 59-72

Hedging in futures and options markets with basis risk

Author keywords

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Indexed keywords


EID: 0036133433     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.2207     Document Type: Review
Times cited : (16)

References (15)
  • 1
    • 84986414666 scopus 로고
    • Bivariate GARCH estimation of the optimal commodity futures hedge
    • Baillie, R., & Myers, R. (1991). Bivariate GARCH estimation of the Optimal Commodity Futures Hedge. Journal of Applied Econometrics, 6, 109-124.
    • (1991) Journal of Applied Econometrics , vol.6 , pp. 109-124
    • Baillie, R.1    Myers, R.2
  • 2
    • 0000922278 scopus 로고
    • Optimal hedging in the futures market under price uncertainty
    • Benninga, S., Eldor, R., & Zilcha, I. (1983). Optimal hedging in the futures market under price uncertainty. Economics Letters, 13, 141-145.
    • (1983) Economics Letters , vol.13 , pp. 141-145
    • Benninga, S.1    Eldor, R.2    Zilcha, I.3
  • 4
    • 38249001834 scopus 로고
    • Optimal hedging in a futures market with background noise and basis risk
    • Briys, E., Crouhy, M., & Schlesinger, H. (1993). Optimal hedging in a futures market with background noise and basis risk. European Economic Review, 37, 949-960.
    • (1993) European Economic Review , vol.37 , pp. 949-960
    • Briys, E.1    Crouhy, M.2    Schlesinger, H.3
  • 5
    • 84993843447 scopus 로고
    • Risk management: Coordinating investment and financing policies
    • Froot, K. A., Scharfstein, S., & Stein, J. C. (1993). Risk management: Coordinating investment and financing policies. The Journal of Finance, 68, 1629-1658.
    • (1993) The Journal of Finance , vol.68 , pp. 1629-1658
    • Froot, K.A.1    Scharfstein, S.2    Stein, J.C.3
  • 7
    • 0002541131 scopus 로고
    • Precautionary saving in the small and in the large
    • Kimball, M. S. (1990). Precautionary saving in the small and in the large. Econometrica, 58, 53-73.
    • (1990) Econometrica , vol.58 , pp. 53-73
    • Kimball, M.S.1
  • 8
    • 0000211703 scopus 로고
    • Standard risk aversion
    • Kimball, M. S. (1993). Standard risk aversion. Econometrica, 61, 581-611.
    • (1993) Econometrica , vol.61 , pp. 581-611
    • Kimball, M.S.1
  • 9
    • 21844494174 scopus 로고
    • On the optimal hedge under unbiased futures prices
    • Lence, S. H. (1995). On the optimal hedge under unbiased futures prices. Economics Letters, 47, 385-388.
    • (1995) Economics Letters , vol.47 , pp. 385-388
    • Lence, S.H.1
  • 10
    • 0038954951 scopus 로고
    • Hedging with price and output uncertainty
    • Losq, E. (1982). Hedging with price and output uncertainty. Economics Letters, 10, 65-70.
    • (1982) Economics Letters , vol.10 , pp. 65-70
    • Losq, E.1
  • 11
    • 21844496047 scopus 로고
    • The hedging role of options and futures under joint price, basis and production risk
    • Moschini, G., & Lapan, H. (1995). The hedging role of options and futures under joint price, basis and production risk. International Economic Review, 36, 1025-1049.
    • (1995) International Economic Review , vol.36 , pp. 1025-1049
    • Moschini, G.1    Lapan, H.2
  • 12
    • 84978550034 scopus 로고
    • Production and hedging decisions in the presence of basis risk
    • Paroush, J., & Wolf, A. (1989). Production and hedging decisions in the presence of basis risk. The Journal of Futures Markets, 9, 547-563.
    • (1989) The Journal of Futures Markets , vol.9 , pp. 547-563
    • Paroush, J.1    Wolf, A.2
  • 13
    • 84978580397 scopus 로고
    • Hedging and crop insurance
    • Poitras, G. (1993). Hedging and crop insurance. The Journal of Futures Markets, 13(4), 373-388.
    • (1993) The Journal of Futures Markets , vol.13 , Issue.4 , pp. 373-388
    • Poitras, G.1
  • 14
    • 0001579697 scopus 로고
    • Risk aversion in the small and in the large
    • Pratt, J. (1964). Risk aversion in the small and in the large. Econometrica, 32, 122-136.
    • (1964) Econometrica , vol.32 , pp. 122-136
    • Pratt, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.