Access the full text.
Sign up today, get DeepDyve free for 14 days.
Berndt Berndt, Hall Hall, Hall Hall, Hausman Hausman (1974)
Estimation and inference in nonlinear structural modelsAnnals of Economic and Social Measurement, 4
R. Myers, S. Thompson (1988)
Generalized Optimal Hedge Ratio EstimationAmerican Journal of Agricultural Economics, 71
S. Benninga, Rafael Eldor, I. Zilcha (1984)
The optimal hedge ratio in unbiased futures marketsJournal of Futures Markets, 4
Anderson Anderson, Danthine Danthine (1981)
Cross hedgingJournal of Political Economy, 81
Engle Engle (1982)
Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflationEconometrica, 50
R. Engle (1982)
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflationEconometrica, 50
P. Phillips (1988)
Testing for a Unit Root in Time Series Regression
R. Baillie (1989)
ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCYEconometric Reviews, 8
P. Phillips, S. Ouliaris (1990)
Asymptotic Properties of Residual Based Tests for CointegrationEconometrica, 58
R. Baillie, Ramon Degennaro (1990)
Stock Returns and VolatilityJournal of Financial and Quantitative Analysis, 25
E. Fama (1965)
The Behavior of Stock-Market PricesThe Journal of Business, 38
Thomas McCurdy, I. Morgan (1986)
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying VolatilityDerivatives eJournal
K. French, G. Schwert, R. Stambaugh (1987)
Expected stock returns and volatilityJournal of Financial Economics, 19
T. Sargent (1988)
Dynamic Macroeconomic Theory
A. Milhøj (1987)
A Conditional Variance Model for Daily Deviations of an Exchange RateJournal of Business & Economic Statistics, 5
R. Engle, David Lilien, Russell Robins (1987)
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M ModelEconometrica, 55
Joanne Hill, T. Schneeweis (1981)
A note on the hedging effectiveness of foreign currency futuresJournal of Futures Markets, 1
T. Bollerslev (1987)
A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURNThe Review of Economics and Statistics, 69
P. Phillips (1987)
Time series regression with a unit rootEconometrica, 55
R. Engle, C. Granger (1987)
Co-integration and error correction: representation, estimation and testingEconometrica, 55
McCurdy McCurdy, Morgan Morgan (1987)
Tests of the martingale hypothesis for foreign currency futures with time varying volatilityInternational Journal of Forecasting, 3
Stephen Cecchetti, R. Cumby, Stephen Figlewski (1988)
Estimation of the Optimal Futures HedgeThe Review of Economics and Statistics, 70
Scientifiques L’É.N.S, L. Bachelier, ÏK Bachelier
Théorie de la spéculationAnnales Scientifiques De L Ecole Normale Superieure, 17
H. Iemoto (1986)
Modelling the persistence of conditional variancesEconometric Reviews, 5
Pierre Perron (1988)
Trends and random walks in macroeconomic time series : Further evidence from a new approachJournal of Economic Dynamics and Control, 12
F. Diebold, M. Nerlove (1986)
The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
Baillie Baillie, Bollerslev Bollerslev (1989)
The message in daily exchange rates: a conditional variance taleJournal of Business and Economic Statistics, 7
Louis Ederington (1979)
The Hedging Performance of the New Futures MarketsJournal of Finance, 34
Mandelbrot Mandelbrot (1963)
The variation of certain speculative pricesJournal of Business, 36
T. Bollerslev, R. Engle, J. Wooldridge (1988)
A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 96
Richard Stevenson, R. Bear (1970)
Commodity Futures: Trends or Random Walks?Journal of Finance, 25
T. Bollerslev (1986)
Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 31
J. Mann, R. Heifner (1976)
The Distribution of Shortrun Commodity Price Movements
Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures. The estimated OHRs reveal that the standard assumption of a time‐invariant OHR is inappropriate. For each commodity the estimated OHR path appears non‐stationary, which has important implications for hedging strategies.
Journal of Applied Econometrics – Wiley
Published: Apr 1, 1991
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.