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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
http://hdl.handle.net/2261/28496
http://hdl.handle.net/2261/28496ea40e60b-95fe-45ee-b17d-21bdaaf9c1d1
| 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 | Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Multivariate GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | volatility spillovers | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asian rubber prices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spot returns | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | futures returns | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: C22, C32, G17, G32, Q14 | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | 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 |
Tanchanok, Khamkaew
× Tanchanok, Khamkaew× McAleer, Michael× Tansucha, Roengchai |
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| 著者所属 | ||||||
| 値 | Faculty of Economics Maejo University Chiang Mai Thailand | |||||
| 著者所属 | ||||||
| 値 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 値 | Tinbergen Institute The Netherlands | |||||
| 著者所属 | ||||||
| 値 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it is important to analyse the relationship between the relevant markets in Thailand, Japan and Singapore. The analysis is conducted using several alternative multivariate GARCH models. The empirical results indicate that the constant conditional correlations arising from the CCC model of Bollerslev (1990) lie in the low to medium range. The results from the VARMA-GARCH model of Ling and McAleer (2003) and the VARMA-AGARCH model of McAleer et al. (2009) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional volatility. Finally, the DCC model of Engle (2002) suggests that the conditional correlations can vary dramatically over time. In general, the dynamic conditional correlations in rubber spot and futures returns shocks can be independent or interdependent. | |||||
| 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-675, 発行日 2009-10 |
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| 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Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | 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/2009/2009cf675ab.html | |||||
