Revised rollover measure: an application to Euronext’s wheat futures contract
| Autor: | Alain François-Heude, Narjiss Araba |
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| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | Finance Bulletin. 1:1-13 |
| ISSN: | 2555-6231 |
| DOI: | 10.20870/fb.2020.1.3.3791 |
| Popis: | This article extends an existing model on contracts rollover, that allows us to lower the bound measuring the number of contracts rolled by verifying that the difference between the number of contracts opened and closed is non negative. This new model is later applied to a futures contract (on milling wheat), to better understand the hedging activity that takes place, and in particular to increase our knowledge on the behavior of hedgers. |
| Databáze: | OpenAIRE |
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