Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25023
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dc.contributor.authorMcMillan, David-
dc.date.accessioned2017-02-27T23:33:28Z-
dc.date.issued2005-09-
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.isoen-
dc.publisherElsevier-
dc.relationMcMillan D (2005) Time-varying hedge ratios for non-ferrous metals prices, Resources Policy, 30 (3), pp. 186-193.-
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.-
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.embargodate2999-12-31T00:00:00Z-
dc.rights.embargoreasonThe 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.-
dc.identifier.doihttp://dx.doi.org/10.1016/j.resourpol.2005.08.004-
dc.citation.jtitleResources Policy-
dc.citation.issn0301-4207-
dc.citation.volume30-
dc.citation.issue3-
dc.citation.spage186-
dc.citation.epage193-
dc.citation.publicationstatusPublished-
dc.citation.peerreviewedRefereed-
dc.type.statusPublisher version (final published refereed version)-
dc.author.emaildavid.mcmillan@stir.ac.uk-
dc.citation.date26/09/2005-
dc.contributor.affiliationAccounting and Finance-
dc.rights.embargoterms2999-12-31-
dc.rights.embargoliftdate2999-12-31-
dc.identifier.isi000234065700004-
Appears in Collections:Economics Journal Articles

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