کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069833 | 1373208 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bivariate mixed normal GARCH models and out-of-sample hedge performances
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This study compares bivariate mixed normal GARCH models with standard bivariate GARCH models in terms of the percentage variance reduction of the out-of-sample hedged portfolio and also statistical significance tests of performance improvements using Superior Predictive Ability statistics. All competing models are applied to corn and wheat futures and empirical results demonstrate that the standard BEKK-GARCH model significantly outperforms the other competing GARCH models at shorter horizons. However, as the hedge horizon is extended to longer than 10Â days, it is evident that the mixed normal BEKK-GARCH model is the best at the usual significance level of 5%.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 6, Issue 3, September 2009, Pages 130-137
Journal: Finance Research Letters - Volume 6, Issue 3, September 2009, Pages 130-137
نویسندگان
Sang-Kuck Chung,