Files

Abstract

This paper investigates whether InterContenental Exchange (ICE) futures contracts are an effective and affordable method of managing price risk for Canadian commodity producers. Long memory in volatility is found to be present in cash and futures prices for canola and western barley. Long memory is incorporated into the hedging strategy by estimating hedge ratios using a FIAPARCH model. Findings indicate that ICE futures contracts for canola are an effective and affordable means of reducing price risk while western barley producers should consider alternative means of managing price risk.

Details

PDF

Statistics

from
to
Export
Download Full History