کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085257 | 1477946 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. Futures data for corn, coffee, wheat, sugar, soybeans, live cattle and hogs are applied. Comparison of the hedging effectiveness is done for the within sample period (1980-2004), and two out-of-sample periods (2002-2004 and 2003-2004). Results indicate superior performance of the portfolios based on the GARCH-X model estimated hedge ratio during all periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 18, Issues 1â2, March 2009, Pages 58-65
Journal: International Review of Financial Analysis - Volume 18, Issues 1â2, March 2009, Pages 58-65
نویسندگان
Taufiq Choudhry,