Proceedings of the Conference Morocco-Korea Cooperation: A Lever for Afro-Asian Development (MKC 2025)

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Time-Varying Hedge Ratios in Fertilizer Futures Markets: Evidence from an Ex-Ante MVHR Framework

Authors
Sfia Chbili1, *, Mustapha Serhani2, Abdeljebar Rafiki3
1IMOEA Laboratory, Faculty of Legal, Economic and Social Sciences, Moulay Ismail University of Meknes, Meknes, Morocco
2Theory of System and Numerical Analysis (TSAN) Team, TSI Laboratory, Faculty of SJES, Moulay Ismail University of Meknès, Meknes, Morocco
3IMOEA Laboratory, Faculty of Legal, Economic and Social Sciences, Moulay Ismail University of Meknes, Meknes, Morocco
*Corresponding author. Email: s.chbili@edu.umi.ac.ma
Corresponding Author
Sfia Chbili
Available Online 20 June 2026.
DOI
10.2991/978-94-6239-680-7_15How to use a DOI?
Keywords
MVHR; Hedging strategy; Stochastic modeling; Fertilizer prices; Futures contracts; Mean reversion
Abstract

This chapter examines time-varying hedging strategies for fertilizer prices using a non-homogeneous stochastic model with time-dependent parameters. The framework captures long-run dynamic and short-term volatility, allowing for heavy-tailed innovations. Ex ante minimum variance hedge ratios are estimated for long, short, and net positions, and the performance of futures contracts with different maturities is evaluated.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the Conference Morocco-Korea Cooperation: A Lever for Afro-Asian Development (MKC 2025)
Series
Atlantis Highlights in Social Sciences, Education and Humanities
Publication Date
20 June 2026
ISBN
978-94-6239-680-7
ISSN
2667-128X
DOI
10.2991/978-94-6239-680-7_15How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Sfia Chbili
AU  - Mustapha Serhani
AU  - Abdeljebar Rafiki
PY  - 2026
DA  - 2026/06/20
TI  - Time-Varying Hedge Ratios in Fertilizer Futures Markets: Evidence from an Ex-Ante MVHR Framework
BT  - Proceedings of the Conference Morocco-Korea Cooperation: A Lever for Afro-Asian Development (MKC 2025)
PB  - Atlantis Press
SP  - 207
EP  - 215
SN  - 2667-128X
UR  - https://doi.org/10.2991/978-94-6239-680-7_15
DO  - 10.2991/978-94-6239-680-7_15
ID  - Chbili2026
ER  -