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An empirical test of the effect of basis risk on cash market positions
14 references·0 citing·36 second hop
An empirical test of the effect of basis risk on cash market positions (1996)An empirical test of the effect of basis …Hedge effectiveness: Basis risk and minimum-variance hedging (2000)Hedge effectiveness: Basis ri…The Derived Demand with Hedging Cost Uncertainty in the Futures Markets (1992)The Derived Demand with Hedgi…Is normal backwardation normal? (1992)Is normal backwardation norma…Hedge effectiveness: Basis risk and minimum‐variance hedging (1992)Hedge effectiveness: Basis ri…Production and hedging decisions in the presence of basis risk (1989)Production and hedging decisi…Measuring and Analyzing the Effects of Short-Term Volatility in Real Exchange Rates (1986)Measuring and Analyzing the E…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The Determination of Spot and Futures Prices with Storable Commodities (1983)The Determination of Spot and…Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets (1983)Price Volatility of Storable …Cross Hedging (1981)Cross HedgingThe Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Speculation and Economic Stability (1976)Speculation and Economic Stab…Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Speculation and Economic Stability (1939)Speculation and Economic Stab…Evaluating Natural Resource Investments (1985)The Strategic and Tactical Value of Commodity Futures (2006)Review of Economic Studies (2010)The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities (1977)Hedging and the Competitive Firm under Price Uncertainty (1979)When Do Futures Destabilize Spot Prices? (1987)Econometric testing for risk averse behaviour in agriculture (1989)Examining the dynamic relationship between spot and future prices of agricultural commodities (2010)A Treatise on Money (1971)The relation between forward prices and futures prices (1981)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Facts and Fantasies about Commodity Futures (2006)The effect of exchange rate uncertainty on the prices and volume of international trade (1978)The effects of real exchange rate risk on international trade (1983)Fixed versus flexible exchange rates and the measurement of exchange rate instability (1984)Exchange Rate Variability and the Slowdown in Growth of International Trade (1988)One Money, One Market: Estimating the Effect of Common Currencies on Trade (1999)Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDC's (2000)Rational Expectations and the Theory of Price Movements (1961)The Simultaneous Determination of Spot and Futures Prices (1976)The theory of commodity price stabilization (1981)Open Access and the Evolution of the U. S. Spot Market for Natural Gas (1994)Do ETFs Increase Volatility? (2014)A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)The pricing of commodity contracts (1976)The Fundamentals of Commodity Futures Returns (2012)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1 (1998)Hedging Pressure Effects in Futures Markets (2000)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Financialization of Commodity Markets (2013)
this work references cited by second hop

References

  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1986Measuring and Analyzing the Effects of Short-Term Volatility in Real Exchange Rates442 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1981Cross Hedging283 cited
  • 1992Is normal backwardation normal?161 cited
  • 1983The Determination of Spot and Futures Prices with Storable Commodities157 cited
  • 1983Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets90 cited
  • 2000Hedge effectiveness: Basis risk and minimum-variance hedging80 cited
  • 1992Hedge effectiveness: Basis risk and minimum‐variance hedging56 cited
  • 1989Production and hedging decisions in the presence of basis risk45 cited
  • 1992The Derived Demand with Hedging Cost Uncertainty in the Futures Markets35 cited

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