Asset Storability And Hedging Effectiveness In Commodity Futures Markets
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- Jian Yang & Titus Awokuse, 2003. "Asset storability and hedging effectiveness in commodity futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 487-491.
References listed on IDEAS
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- Peter S. Sephton, 1993. "Optimal Hedge Ratios at the Winnipeg Commodity Exchange," Canadian Journal of Economics, Canadian Economics Association, vol. 26(1), pages 175-193, February.
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- Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
- Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
- Nigatu, Getachew & Adjemian, Michael K., 2016.
"The U.S. Role in the Price Determination of Major Agricultural Commodities,"
2017 Allied Social Science Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois
250119, Agricultural and Applied Economics Association.
- Nigatu, Getachew & Adjemian, Michael K., 2016. "The U.S. Role in the Price Determination of Major Agricultural Commodities," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236045, Agricultural and Applied Economics Association.
- Choudhry, Taufiq, 2009. "Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 58-65, March.
- Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
- repec:eee:ecmode:v:70:y:2018:i:c:p:97-114 is not listed on IDEAS
- repec:wyi:journl:002103 is not listed on IDEAS
More about this item
Keywordscommodity futures; asset storability; hedging effectiveness; multivariate GARCH; Marketing; D82; G19;
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G19 - Financial Economics - - General Financial Markets - - - Other
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