User menu

The asymmetric commodity inventory effect on the optimal hedge ratio

Bibliographic reference Carpantier, Jean-François ; Samkharadze, Besik. The asymmetric commodity inventory effect on the optimal hedge ratio. In: The Journal of Futures Markets, Vol. 33, no.9, p. 868-888 (2013)
Permanent URL http://hdl.handle.net/2078.1/135151
  1. Baillie Richard T., Myers Robert J., Bivariate garch estimation of the optimal commodity futures Hedge, 10.1002/jae.3950060202
  2. Bauwens Luc, Laurent Sébastien, Rombouts Jeroen V. K., Multivariate GARCH models: a survey, 10.1002/jae.842
  3. Black , F. 1976 Studies of stock price volatility changes Proceedings of the 1976 meeting of business and economic statistics section by American Statistical Association 177 181
  4. Bollerslev Tim, Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model, 10.2307/2109358
  5. Brooks Chris, Henry Olan T., Persand Gita, The Effect of Asymmetries on Optimal Hedge Ratios, 10.1086/338484
  6. Campbell, The econometrics of financial markets (1996)
  7. Carpantier , J.-F. 2010 Commodities inventory effect
  8. Chen Sheng-Syan, Lee Cheng-few, Shrestha Keshab, Futures hedge ratios: a review, 10.1016/s1062-9769(02)00191-6
  9. Chou Ray Yeutien, Volatility persistence and stock valuations: Some empirical evidence using garch, 10.1002/jae.3950030404
  10. Engle Robert, Dynamic Conditional Correlation : A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, 10.1198/073500102288618487
  11. Engle Robert F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, 10.2307/1912773
  12. Engle Robert F., Kroner Kenneth F., Multivariate Simultaneous Generalized ARCH, 10.1017/s0266466600009063
  13. Glosten, Journal of Finance, 48, 1779 (1993)
  14. Gorton , G. B. Hayashi , F. Rouwenhorst , K. G. 2007 The fundamentals of commodity futures returns NBER Working Papers 13249, National Bureau of Economic Research, Inc
  15. Kroner Kenneth F., Ng Victor K., Modeling Asymmetric Comovements of Asset Returns, 10.1093/rfs/11.4.817
  16. Kroner, Pacific-Basin Capital Markets Research, 2, 397 (1991)
  17. Kroner Kenneth F., Sultan Jahangir, Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures, 10.2307/2331164
  18. Lien Donald, Tse Y. K., Some Recent Developments in Futures Hedging, 10.1111/1467-6419.00172
  19. Lien Donald, Tse Y. K., Tsui Albert K. C., Evaluating the hedging performance of the constant-correlation GARCH model, 10.1080/09603100110046045
  20. Lien Donald, Yang Li, Spot-futures spread, time-varying correlation, and hedging with currency futures, 10.1002/fut.20225
  21. Lien Donald, Yang Li, Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets, 10.1016/j.jbankfin.2007.01.026
  22. Malkiel Burton G, The Efficient Market Hypothesis and Its Critics, 10.1257/089533003321164958
  23. Ng Victor K., Pirrong Stephen Craig, Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices, 10.1086/296630