Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach
By G. Moschini, R. Myers. 2002
112 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9c146631566f8b6be3d863b01500ab45716c19f7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Stavros Degiannakis *
- Panos K. Pouliasis
- A. Alizadeh
- Nikos Nomikos
- Evdokia Xekalaki
- George Filis
- R. Brooks
- Feng Ma
In Finance
- Stavros Degiannakis *
- Panos K. Pouliasis
- Nikos Nomikos
- A. Alizadeh
- Evdokia Xekalaki
- George Filis
- R. Brooks
- Apostolos Serletis
Citations in the corpus
- Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, background): “Recently, Moschini and Myers (2002), in order to estimate time-varying optimal hedge ratios in commodity markets, modified the BEKK model of (5.2) in the form: t p j jjtj q i iitititt ΓBHBAεεAAAΓH 00”
- A Markov regime switching approach for hedging energy commodities (2008, background): “…and Sultan (1993); for stock index futures Park and Switzer (1995); for interest rate futures Gagnon and Lypny (1995), for freight futures Kavussanos and Nomikos (2000); for corn futures Moschini and Myers (2002); for electricity futures Bystrom (2003); for petroleum futures Alizadeh et al. (2004).”