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Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
http://hdl.handle.net/2261/32448
http://hdl.handle.net/2261/32448a3e8fa24-dcf8-42f4-9b1a-c96bb61603b1
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Multivariate | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | shocks | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | correlation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | dependency | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | interdependency | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | precious metals | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | exchange rates | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | hedging | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C32, G10 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Hammoudeh, Shawkat
× Hammoudeh, Shawkat× Yuan, Yuan× McAleer, Michael× Thompson, Mark A. |
|||||
著者所属 | ||||||
著者所属 | Lebow College of Business Drexel University | |||||
著者所属 | ||||||
著者所属 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Rawls College of Business Texas Tech University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-684, 発行日 2009-10 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf684ab.html |