Bivariate Garch Estimation of the Optimal Commodity Futures Hedge Richard T. Baillie; Robert J. Myers Journal of Applied Econometrics, Vol. 6, No. 2. (Apr. - Jun., 1991), pp. 109-124. Stable URL: http://links.jstor.org/sici?sici=0883-7252%28199104%2F06%296%3A2%3C109%3ABGEOTO%3E2.0.CO%3B2-%23 Journal of Applied Econometrics is currently published by John Wiley & Sons.

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http://www.jstor.org/journals/jwiley.html. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission.

JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. For more information regarding JSTOR, please contact [email protected].

http://www.jstor.org Mon Jan 29 02:11:27 2007

http://www.jstor.org

LINKED CITATIONS - Page 1 of 4 -

You have printed the following article: Bivariate Garch Estimation of the Optimal Commodity Futures Hedge Richard T. Baillie; Robert J. Myers Journal of Applied Econometrics, Vol. 6, No. 2. (Apr. - Jun., 1991), pp. 109-124. Stable URL: http://links.jstor.org/sici?sici=0883-7252%28199104%2F06%296%3A2%3C109%3ABGEOTO%3E2.0.CO%3B2-%23

This article references the following linked citations. If you are trying to access articles from an off-campus location, you may be required to first logon via your library web site to access JSTOR. Please visit your library's website or contact a librarian to learn about options for remote access to JSTOR.

References Cross Hedging Ronald W. Anderson; Jean-Pierre Danthine The Journal of Political Economy, Vol. 89, No. 6. (Dec., 1981), pp. 1182-1196. Stable URL: http://links.jstor.org/sici?sici=0022-3808%28198112%2989%3A6%3C1182%3ACH%3E2.0.CO%3B2-2

The Message in Daily Exchange Rates: A Conditional-Variance Tale Richard T. Baillie; Tim Bollerslev Journal of Business & Economic Statistics, Vol. 7, No. 3. (Jul., 1989), pp. 297-305. Stable URL: http://links.jstor.org/sici?sici=0735-0015%28198907%297%3A3%3C297%3ATMIDER%3E2.0.CO%3B2-J

Stock Returns and Volatility Richard T. Baillie; Ramon P. DeGennaro The Journal of Financial and Quantitative Analysis, Vol. 25, No. 2. (Jun., 1990), pp. 203-214. Stable URL: http://links.jstor.org/sici?sici=0022-1090%28199006%2925%3A2%3C203%3ASRAV%3E2.0.CO%3B2-2

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return Tim Bollerslev The Review of Economics and Statistics, Vol. 69, No. 3. (Aug., 1987), pp. 542-547. Stable URL: http://links.jstor.org/sici?sici=0034-6535%28198708%2969%3A3%3C542%3AACHTSM%3E2.0.CO%3B2-A

http://www.jstor.org

LINKED CITATIONS - Page 2 of 4 -

A Capital Asset Pricing Model with Time-Varying Covariances Tim Bollerslev; Robert F. Engle; Jeffrey M. Wooldridge The Journal of Political Economy, Vol. 96, No. 1. (Feb., 1988), pp. 116-131. Stable URL: http://links.jstor.org/sici?sici=0022-3808%28198802%2996%3A1%3C116%3AACAPMW%3E2.0.CO%3B2-7

Estimation of the Optimal Futures Hedge Stephen G. Cecchetti; Robert E. Cumby; Stephen Figlewski The Review of Economics and Statistics, Vol. 70, No. 4. (Nov., 1988), pp. 623-630. Stable URL: http://links.jstor.org/sici?sici=0034-6535%28198811%2970%3A4%3C623%3AEOTOFH%3E2.0.CO%3B2-R

The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model Francis X. Diebold; Marc Nerlove Journal of Applied Econometrics, Vol. 4, No. 1. (Jan. - Mar., 1989), pp. 1-21. Stable URL: http://links.jstor.org/sici?sici=0883-7252%28198901%2F03%294%3A1%3C1%3ATDOERV%3E2.0.CO%3B2-T

The Hedging Performance of the New Futures Markets Louis H. Ederington The Journal of Finance, Vol. 34, No. 1. (Mar., 1979), pp. 157-170. Stable URL: http://links.jstor.org/sici?sici=0022-1082%28197903%2934%3A1%3C157%3ATHPOTN%3E2.0.CO%3B2-G

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1008. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28198207%2950%3A4%3C987%3AACHWEO%3E2.0.CO%3B2-3

Co-Integration and Error Correction: Representation, Estimation, and Testing Robert F. Engle; C. W. J. Granger Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 251-276. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C251%3ACAECRE%3E2.0.CO%3B2-T

http://www.jstor.org

LINKED CITATIONS - Page 3 of 4 -

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model Robert F. Engle; David M. Lilien; Russell P. Robins Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 391-407. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C391%3AETVRPI%3E2.0.CO%3B2-X

The Behavior of Stock-Market Prices Eugene F. Fama The Journal of Business, Vol. 38, No. 1. (Jan., 1965), pp. 34-105. Stable URL: http://links.jstor.org/sici?sici=0021-9398%28196501%2938%3A1%3C34%3ATBOSP%3E2.0.CO%3B2-6

The Variation of Certain Speculative Prices Benoit Mandelbrot The Journal of Business, Vol. 36, No. 4. (Oct., 1963), pp. 394-419. Stable URL: http://links.jstor.org/sici?sici=0021-9398%28196310%2936%3A4%3C394%3ATVOCSP%3E2.0.CO%3B2-L

A Conditional Variance Model for Daily Deviations of an Exchange Rate Anders Milhøj Journal of Business & Economic Statistics, Vol. 5, No. 1. (Jan., 1987), pp. 99-103. Stable URL: http://links.jstor.org/sici?sici=0735-0015%28198701%295%3A1%3C99%3AACVMFD%3E2.0.CO%3B2-0

Generalized Optimal Hedge Ratio Estimation Robert J. Myers; Stanley R. Thompson American Journal of Agricultural Economics, Vol. 71, No. 4. (Nov., 1989), pp. 858-868. Stable URL: http://links.jstor.org/sici?sici=0002-9092%28198911%2971%3A4%3C858%3AGOHRE%3E2.0.CO%3B2-G

Time Series Regression with a Unit Root P. C. B. Phillips Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 277-301. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C277%3ATSRWAU%3E2.0.CO%3B2-R

http://www.jstor.org

LINKED CITATIONS - Page 4 of 4 -

Asymptotic Properties of Residual Based Tests for Cointegration P. C. B. Phillips; S. Ouliaris Econometrica, Vol. 58, No. 1. (Jan., 1990), pp. 165-193. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28199001%2958%3A1%3C165%3AAPORBT%3E2.0.CO%3B2-V

Testing for a Unit Root in Time Series Regression Peter C. B. Phillips; Pierre Perron Biometrika, Vol. 75, No. 2. (Jun., 1988), pp. 335-346. Stable URL: http://links.jstor.org/sici?sici=0006-3444%28198806%2975%3A2%3C335%3ATFAURI%3E2.0.CO%3B2-B

Commodity Futures: Trends or Random Walks? Richard A. Stevenson; Robert M. Bear The Journal of Finance, Vol. 25, No. 1. (Mar., 1970), pp. 65-81. Stable URL: http://links.jstor.org/sici?sici=0022-1082%28197003%2925%3A1%3C65%3ACFTORW%3E2.0.CO%3B2-E

Bivariate GARCH Estimation of the Optimal Commodity ...

Jan 29, 2007 - Your use of the JSTOR archive indicates your acceptance of JSTOR's ... The Message in Daily Exchange Rates: A Conditional-Variance Tale.
Download PDF
2MB Sizes 3 Downloads 210 Views
Report

Recommend Documents

Estimation of bivariate measurements having ... - Wiley Online Library
points, with application to cognitive ageing‡. Charles ... Longitudinal studies of ageing make repeated observations of multiple measurements on each subject.
GEL Estimation for Heavy-Tailed GARCH Models with ...
Jun 16, 2014 - present a broad simulation study for GEL and GELITT, and demonstrate profile weighted expected shortfall for the ... University of. Sydney; http://sydney.edu.au/business/staff/artemp; ... The time series of interest is a stationary erg
Optimal nonparametric estimation of first-price auctions
can be estimated nonparametrically from available data. We then propose a ..... We define the set * of probability distributions P(-) on R. as. Zº = (P(-) is .... numerical integration in (1) so as to determine the buyer's equilibrium strategy s(-,
Optimal Estimation of Multi-Country Gaussian Dynamic ...
international term structure models with a large number of countries, exchange rates and bond pricing factors. Specifically ... While some recent approaches to the estimation of one-country GDTSMs have substantially lessened some of ..... j,t+1 × St
optimal tax portfolios an estimation of government tax revenue ...
tax.4 Wages and profits are assumed to be stochastic, resulting in stochastic ... Consumption and wage income will not be perfectly correlated as long as wages ...
Optimal Estimation of Multi-Country Gaussian Dynamic ...
optimal ALS estimation should, in principle, involve both choosing an optimal weighting matrix and simultaneously imposing the self-consistency constraints when estimating the model. However, the self-consistency restrictions combined with the assump
optimal tax portfolios an estimation of government tax revenue ...
frontiers allows for across state analysis of the relative mean-variance tradeoffs. ...... The arch formed by the actual portfolios held by California in the past 48 .... The corporate profit base, tax sheltering activity, and the changing nature of
Evaluating the Forecasting Performance of GARCH ...
van Dijk, D., T. Teräsvirta, and P. H. Franses (2002): “Smooth Transition Autoregressive. Models - A Survey of Recent Developments,” Econometric Reviews, 21, 1–47. White, H. (2000): “A Reality Check for Data Snooping,” Econometrica, 68, 10
The pricing of commodity contracts
Typically a margin (collateral) is posted with the 'broker' by each party, which is meant to be ... R is the return on short-term interest-bearing securities,. ˜. RM.
Optimal Essential Matrix Estimation via Inlier-Set ... - Jiaolong Yang
To deal with outliers in the context of multiple-view geometry, RANSAC [7] ..... random points and two omnidirectional cameras which have 360◦ field of view.
The lattice-theoretic structure of sets of bivariate ...
2. The lattice of quasi-copulas. We begin with some basic results on the structure of the posets Q, C and Q \ C. Theorem 2.1. Q is a complete lattice; however, neither C nor Q \ C is a lattice. Proof. Let S be any set of quasi-copulas, and define QS(
Optimal Training Design for Channel Estimation in ...
Apr 15, 2008 - F. Gao is with the Institute for Infocomm Research, A*STAR, 21 Heng ... California Institute of Technology, Pasadena, CA 91125, USA (Email:.
Optimal Cover Estimation Methods and Steganographic ...
WAM locator reflects pixels at the borders of the stego image to achieve the best ... We also use border reflection in .... http://ece.unm.edu/˜tuthach/decoder.html.
Optimal ࣇ-SVM Parameter Estimation using Multi ...
May 2, 2010 - of using the Pareto optimality is of course the flexibility to choose any ... The authors are with the Dept. of Electrical and Computer Engineering.
Optimal ࣇ-SVM Parameter Estimation using Multi ...
May 2, 2010 - quadratic programming to solve for the support vectors, but regularization .... the inherent parallelism in the algorithm [5]. The NSGA-II algorithm ...
Optimal Essential Matrix Estimation via Inlier-Set ... - Jiaolong Yang
In this paper, we extend the globally optimal “rotation space search” method [11] to ... space of a solid 2D disk and a solid 3D ball, as well as efficient closed- form bounding functions. Experiments on both synthetic data and real ... mation is
Optimal Training Design for Channel Estimation in ...
Apr 15, 2008 - Unfortunately, packing more than one antenna onto a small mobile ... Notations: Vectors and matrices are boldface small and capital letters, ...
Optimal quantum estimation in spin systems at criticality
Oct 9, 2008 - example of a many-body system exhibiting criticality, and derive the optimal quantum estimator of the cou- ..... is universal, i.e., independent on the anisotropy and given ..... 19 P. Zanardi et al., e-print arXiv:0708.1089, Phys.