Hedging salmon price risk

References

• Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716–723. doi:10.1109/tac.1974.1100705
   Web of Science ®Google Scholar
• Ankamah-Yeboah, I., Nielsen, M., & Nielsen, R. (2017). Price formation of the salmon aquaculture futures market. Aquaculture Economics & Management, 21(3), 376–399.
   Web of Science ®Google Scholar
• Asche, F., & Bjorndal, T. (2011). The economics of salmon aquaculture. Chichester: John Wiley & Sons.
   Google Scholar
• Asche, F., Dahl, R. E., & Steen, M. (2015). Price volatility in seafood markets: Farmed vs. wild fish. Aquaculture Economics & Management, 19(3), 316–335. doi:10.1080/13657305.2015.1057879
   Web of Science ®Google Scholar
• Asche, F., & Guttormsen, A. G. (2001). Patterns in the relative price for different sizes of farmed fish. Marine Resource Economics, 16(3), 235–247. doi:10.1086/mre.16.3.42629321
   Google Scholar
• Asche, F., Misund, B., & Oglend, A. (2016a). Determinants of the Atlantic salmon futures risk premium. Journal of Commodity Markets, 2(1), 6–17. doi:10.1016/j.jcomm.2016.07.001
   Web of Science ®Google Scholar
• Asche, F., Misund, B., & Oglend, A. (2016b). The spot-forward relationship in the Atlantic salmon market. Aquaculture Economics & Management, 20(2), 222–234. doi:10.1080/13657305.2016.1156192
   Web of Science ®Google Scholar
• Bekkerman, A. (2011). Time-varying hedge ratios in linked agricultural markets. Agricultural Finance Review, 71(2), 179–200. doi:10.1108/00021461111152564
   Google Scholar
• Bergfjord, O. J. (2007). Is there a future for salmon futures? An analysis of the prospects of a potential futures market for salmon. Aquaculture Economics & Management, 11(2), 113–132. doi:10.1080/13657300701370317
   Google Scholar
• Bergfjord, O. J. (2009). Risk perception and risk management in Norwegian aquaculture. Journal of Risk Research, 12(1), 91–104. doi:10.1080/13669870802488941
   Web of Science ®Google Scholar
• Bloznelis, D. (2016a). Management of short-term price uncertainty in the salmon spot market (Doctoral dissertation). Norwegian University of Life Sciences, Aas.
   Google Scholar
• Bloznelis, D. (2016b). Salmon price volatility: A weight-class-specific multivariate approach. Aquaculture Economics & Management, 20(1), 24–53. doi:10.1080/13657305.2016.1124936
   Web of Science ®Google Scholar
• Bloznelis, D. (2017a). Hedging under square loss. Manuscript in preparation, MPRA paper 83442. https://mpra.ub.uni-muenchen.de/id/eprint/83442
   Google Scholar
• Bloznelis, D. (2017b). Short‐term salmon price forecasting. Journal of Forecasting. doi:10.1002/for.2482. In press.
   Web of Science ®Google Scholar
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. doi:10.1016/0304-4076(86)90063-1
   Web of Science ®Google Scholar
• Chen, S. S., Lee, C. F., & Shrestha, K. (2003). Futures hedge ratios: A review. The Quarterly Review of Economics and Finance, 43(3), 433–465. doi:10.1016/s1062-9769(02)00191-6
   Google Scholar
• Creti, A., Joëts, M., & Mignon, V. (2013). On the links between stock and commodity markets’ volatility. Energy Economics, 37(1), 16–28. doi:10.1016/j.eneco.2013.01.005
   Google Scholar
• Dahl, R. E. (2017). A study on price volatility in the aquaculture market using value-at-Risk (VaR). Aquaculture Economics & Management, 21(1), 125–143. doi:10.1080/13657305.2017.1262475
   Web of Science ®Google Scholar
• Dahl, R. E., & Oglend, A. (2014). Fish Price Volatility. Marine Resource Economics, 29(4), 305–322. doi:10.1086/678925
   Web of Science ®Google Scholar
• Dawson, P. J., Tiffin, A. L., & White, B. (2000). Optimal hedging ratios for wheat and barley at the LIFFE: A GARCH approach. Journal of Agricultural Economics, 51(2), 147–161. doi:10.1111/j.1477-9552.2000.tb01220.x
   Web of Science ®Google Scholar
• Diebold, F. X. & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. doi:10.1198/073500102753410444
   Web of Science ®Google Scholar
• Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157–170. doi:10.2307/2327150
   Web of Science ®Google Scholar
• Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. doi:10.1198/073500102288618487
   Web of Science ®Google Scholar
• Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251–276. doi:10.2307/1913236
   Web of Science ®Google Scholar
• Ewald, C. O., Nawar, R., Ouyang, R., & Siu, T. K. (2015). An Analysis of the Fish Pool Market in the Context of Schwartz’(1997) Multifactor Model with Stochastic Convenience Yield (working paper). Retrieved from Social Science Research Network website: https://ssrn.com/abstract=2567737
   Google Scholar
• Ewald, C. O., & Ouyang, R. (2017). An analysis of the Fish Pool market in the context of seasonality and stochastic convenience yield. Marine Resource Economics, 32(4), 431–449. doi:10.1086/693375
   Web of Science ®Google Scholar
• Ewald, C. O., & Salehi, P. (2015). Salmon futures and the Fish Pool market in the context of the CAPM and the Fama & French three-factor model (working paper). Retrieved from Social Science Research Network website: https://ssrn.com/abstract=2567737
   Google Scholar
• Fish Pool. (2014). NOS and NASDAQ price. Fish Pool. Retrieved from http://fishpool.eu/wp-content/uploads/2014/08/FAQ-Nasdaq.pdf
   Google Scholar
• Fish Pool. (2015). Arsrapport 2014. Oslo/Bergen/Florø: Fish Pool.
   Google Scholar
• Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH (1, 1)? Journal of Applied Econometrics, 20(7), 873–889. doi:10.1002/jae.800
   Web of Science ®Google Scholar
• Harvey, D., Leybourne, S., & Newbold, P. (1997). Testing the equality of prediction mean squared errors. International Journal of Forecasting, 13(2), 281–291. doi:10.1016/s0169-2070(96)00719-4
   Web of Science ®Google Scholar
• Hull, J. C. (2012). Options, futures, and other derivatives. London: Pearson Education Limited.
   Google Scholar
• Hyndman, R. J. (2014). Forecasting weekly data. Hyndsight. Retrieved from http://robjhyndman.com/hyndsight/forecasting-weekly-data/
   Google Scholar
• Investopedia. (n.d.). Hedge. Retrieved from http://www.investopedia.com/terms/h/hedge.asp
   Google Scholar
• Jensen, B.-A. (2013). No immediate relief in sight for high salmon prices. Intrafish. Retrieved from http://www.intrafish.com/news/article1373426.ece
   Google Scholar
• Johnson, L. L. (1960). The theory of hedging and speculation in commodity futures. The Review of Economic Studies, 27(3), 139–151. doi:10.2307/2296076
   Google Scholar
• Konishi, S., & Kitagawa, G. (2008). Information criteria and statistical modeling. New York: Springer Science & Business Media.
   Google Scholar
• Mensi, W., Hammoudeh, S., Nguyen, D. K., & Yoon, S. M. (2014). Dynamic spillovers among major energy and cereal commodity prices. Energy Economics, 43(1), 225–243. doi:10.1016/j.eneco.2014.03.004
   Google Scholar
• Misund, B. (in press). Common and fundamental risk factors in shareholder returns of Norwegian Salmon producing companies. Journal of Commodity Markets. In press. doi:10.2139/ssrn.3056133
   Google Scholar
• Misund, B., & Asche, F. (2016). Hedging efficiency of Atlantic salmon futures. Aquaculture Economics & Management, 20(4), 368–381. doi:10.1080/13657305.2016.1212123
   Web of Science ®Google Scholar
• Oglend, A. (2013). Recent trends in salmon price volatility. Aquaculture Economics & Management, 17(3), 281–299. doi:10.1080/13657305.2013.812155
   Web of Science ®Google Scholar
• Oglend, A., & Sikveland, M. (2008). The behaviour of salmon price volatility. Marine Resource Economics, 23(4), 507–526. doi:10.1086/mre.23.4.42629677
   Web of Science ®Google Scholar
• Schütz, P., & Westgaard, S. (2017). Optimal hedging strategies for salmon producers (Department of industrial economics and technology management). Trondheim: Norwegian University of Science and Technology.
   Google Scholar
• Solibakke, P. B. (2012). Scientific stochastic volatility models for the salmon forward market: Forecasting (un-) conditional moments. Aquaculture Economics & Management, 16(3), 222–249. doi:10.1080/13657305.2012.704618
   Web of Science ®Google Scholar
• Stein, J. L. (1961). The simultaneous determination of spot and futures prices. The American Economic Review, 51(5), 1012–1025.
   Web of Science ®Google Scholar
• Szakmary, A., Ors, E., Kim, J. K., & Davidson, W. N. (2003). The predictive power of implied volatility: Evidence from 35 futures markets. Journal of Banking & Finance, 27(11), 2151–2175. doi:10.1016/s0378-4266(02)00323-0
   Web of Science ®Google Scholar
• Yang, J., Balyeat, R. B., & Leatham, D. J. (2005). Futures trading activity and commodity cash price volatility. Journal of Business Finance & Accounting, 32(1–2), 297–323. doi:10.1111/j.0306-686x.2005.00595.x
   Web of Science ®Google Scholar
• Zhang, D., Myrland, Ø., & Xie, J. (2016). Firm size, commodity price, and interdependence between firm-level stock prices: The case of Norwegian salmon industry. Applied Economics and Finance, 3(4), 179–189. doi:10.11114/aef.v3i4.1864
   Google Scholar