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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25023
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dc.contributor.authorMcMillan, Daviden_UK
dc.date.accessioned2017-02-27T23:33:28Z-
dc.date.available2017-02-27T23:33:28Zen_UK
dc.date.issued2005-09en_UK
dc.identifier.urihttp://hdl.handle.net/1893/25023-
dc.description.abstractThis paper examines the effectiveness of time-varying bivariate GARCH and GARCH-X determined hedge ratios for six non-ferrous metals cash-futures portfolios against time-invariant alternatives. The results suggest that the GARCH-X model, which incorporates the (squared) short-run deviation from a long-run cointegrating relationship in the conditional variance and covariance equations, provides the most effective hedge in five of the six cases. Thus, the results presented here strongly support the view that incorporating time-variation into the hedge ratio improves the performance of the hedge in terms of risk reduction.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationMcMillan D (2005) Time-varying hedge ratios for non-ferrous metals prices. Resources Policy, 30 (3), pp. 186-193. https://doi.org/10.1016/j.resourpol.2005.08.004en_UK
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectOptimal hedge ratioen_UK
dc.subjectbivariate GARCHen_UK
dc.subjectspot and futures metals pricesen_UK
dc.titleTime-varying hedge ratios for non-ferrous metals pricesen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-27en_UK
dc.rights.embargoreason[1-s2.0-S0301420705000383-main.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.resourpol.2005.08.004en_UK
dc.citation.jtitleResources Policyen_UK
dc.citation.issn0301-4207en_UK
dc.citation.volume30en_UK
dc.citation.issue3en_UK
dc.citation.spage186en_UK
dc.citation.epage193en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date26/09/2005en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000234065700004en_UK
dc.identifier.scopusid2-s2.0-29144521288en_UK
dc.identifier.wtid539563en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2005-08-05en_UK
dcterms.dateAccepted2005-08-05en_UK
dc.date.filedepositdate2017-02-27en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-27en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filename1-s2.0-S0301420705000383-main.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0301-4207en_UK
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