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Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
http://hdl.handle.net/2261/35793
http://hdl.handle.net/2261/3579333b8661d-b401-4ba7-9f1d-1afc8249b085
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 | Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL: C51, E27, Q43 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | MGARCH | |||||
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 | transmission | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymmetries | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | hedging | |||||
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 M.
× Hammoudeh, Shawkat M.× Yuan, Yuan× McAleer, Michael |
|||||
著者所属 | ||||||
著者所属 | Lebow College of Business, Drexel University, Philadelphia, PA | |||||
著者所属 | ||||||
著者所属 | Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute, The Netherlands | |||||
著者所属 | ||||||
著者所属 | Department of Economics and Finance, University of Canterbury, New Zealand | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities in all the models. Model 2, which includes the business cycle industrial metal copper and not aluminum, displays more direct and indirect transmissions than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. The asymmetric effects are the greatest in Model 3 because of the high interactions between oil and aluminum. Optimal portfolios should have more euro currency than commodities, and more copper and gold than oil. | |||||
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-741, 発行日 2010-05 |
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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 | 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/2010/2010cf741ab.html |