Browsing by Subject "Futures"

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Commodity Futures Hedging, Risk Aversion and the Hedging Horizon

Conlon, Thomas ; Gençay, Ramazan ; Cotter, John (UCD Geary Institute, 2012)

This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...
Dealing with the continuing price volatility of oil

Cotter, John ; Hanly, Jim (Fintel, 2007-04)

Asset prices can be prone to large movements, and this year we have seen this in equity prices and commodity prices, including oil. Recent volatility of around 2 per cent per day in oil prices has led to uncertainty for ...
Extreme risk in futures contracts

Cotter, John (Routledge, 2005)

This article uses Extreme Value Theory (EVT) to measure extreme risk in futures contracts with diverging underlying assets. The approach provides a framework for analysing the distributional properties of extreme returns. ...
Re-evaluating hedging performance for asymmetry : the case of crude oil

Cotter, John ; Hanly, Jim (Emerald, 2012)

We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...