Out-of-sample Hedge Performances for Risk Management in China Commodity Futures Markets
We consider a new time-series model that describes long memory and asymmetries simultaneously under the dynamic conditional correlation specification, and that can be used to assess an extensive evaluation of out-of-sample hedging performances using aluminum and fuel oil futures markets traded on the Shanghai Futures Exchange. Upon fitting it to the spot and futures returns of aluminum and fuel oil markets, it is found that a parsimonious version of the model captures the salient features of the data rather well. The empirical results suggest that separating the effects of positive and negative basis on the market volatility, and the correlation between two markets as well as jointly incorporating the long memory effect of the basis on market returns not only provides better descriptions of the dynamic behaviors of commodity prices, but also plays a statistically significant role in determining dynamic hedging strategies. Copyright 2009 The Author. Journal compilation 2009 East Asian Economic Association and Blackwell Publishing Ltd..
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 23 (2009)
Issue (Month): 3 (09)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=1351-3958|
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=1351-3958|
When requesting a correction, please mention this item's handle: RePEc:bla:asiaec:v:23:y:2009:i:3:p:349-372. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.