@article{Revoredo-Giha:212486,
      recid = {212486},
      author = {Revoredo-Giha, Cesar and Zuppiroli, Marco},
      title = {Hedging effectiveness of European wheat futures markets:  An application of multivariate GARCH models},
      address = {2015},
      number = {1008-2016-79972},
      pages = {26},
      year = {2015},
      abstract = {The instability of commodity prices and the hypothesis  that speculative behaviour was
one of its causes has  brought renewed interest in futures markets. In this paper,  the
hedging effectiveness of European and US wheat futures  markets were studied to test
whether they were affected by  the high price instability after 2007. In particular,  the
focus of the paper is to test of whether the increasing  presence of financialization of
commodity trading in  futures markets mentioned in the literature have made  them
divorced from the physical markets. A multivariate  GARCH model was applied to
compute optimal hedging ratios.  Important evidence was found of an improvement,
after 2007,  in the effectiveness of hedging with the European futures.},
      url = {http://ageconsearch.umn.edu/record/212486},
      doi = {https://doi.org/10.22004/ag.econ.212486},
}