Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147730
Authors: 
Sherafatmand, Habibeh
Yazdani, Saeed
Year of Publication: 
2014
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 2 [Year:] 2014 [Issue:] 1 [Pages:] 1-12
Abstract: 
Effective risk management is an important aspect of farming. Risk management involves choosing among alternatives that reduce the financial effects of the uncertainties of weather, yields, prices, government policies, and other factors that can cause wide swings in farm income. To deal with price uncertainty, this paper focuses on futures markets and calculates hedge ratio for dates. A bivariate BEKK GARCH model is used to determine time-varying hedge ratios. The results show that the average BEKK BGARCH hedge ratio for dates is .7. Also in this paper, the hedge ratio, which takes into consideration the producers' risk-averse parameter, is estimated [Extended mean Gini hedge ratio (EMGHR)]. Results of EMGHR recommended that risk-averse producers, who have risky parameter equal to 50, could reduce their price risk to 60% by attending futures markets.
Subjects: 
hedge ratio
BGARCH
EMG hedge ratio
bootstrap
dates
JEL: 
C1
C15
C32
D4
D18
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

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