Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets

By Donald Lien, Li Yang. 2008

116 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ee30a586a269bd5add8fa9fec275e62bfa72b19d

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

1. Walid Mensi
2. Makram Beljid
3. Adel Boubaker
4. Shunsuke Managi
5. Sang Hoon Kang
6. Seong‐Min Yoon
7. Muhammad Shahbaz
8. Mohamed Arouri

In Finance

1. Makram Beljid
2. Adel Boubaker
3. Walid Mensi
4. Shunsuke Managi

Citations in the corpus

• Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “To perform this analysis, a developed econometric methodology was used; thus, a VAR-GARCH model that was introduced by Ling and McAleer (2003) was used for the S&P 500 index, oil spot prices, and the commodity indexes for beverages, food and metal from January 3, 2000 to December 31, 2011.”