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文章基本信息

  • 标题:ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS
  • 本地全文:下载
  • 作者:Yang, Jian ; Awokuse, Titus O.
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2002
  • 期号:SUPPL
  • 出版社:Food Distribution Research Society
  • 摘要:This paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function.
  • 关键词:commodity futures;asset storability;hedging effectiveness;multivariate GARCH
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