Hedging Industrial Metals With Stochastic Volatility Models-Reference-Cited by-同舟云学术

Hedging Industrial Metals With Stochastic Volatility Models

Published:2014-04-03 Issue:8 Volume:34 Page:704-730
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Liu Qingfu¹,Chng Michael T.²³,Xu Dongxia¹

Affiliation:

1. Qingfu Liu and Dongxia Xu are at Institute for Financial Studies, School of Economics; Fudan University; Shanghai China

2. Michael T. Chng is at International Business School Suzhou; Xian-Jiaotong Liverpool University; Suzhou China

3. School of Accounting, Economics and Finance; Deakin University; Melbourne VIC Australia

Funder

985 Engineering Innovation Base, Fudan University

Australian Centre for Financial Studies

National Nature Science Funds of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21671/fullpdf

Reference37 articles.

1. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Application Economics,1991

2. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

3. Jump and stochastic volatility: Exchange rate processes implicit in Deutschemark options;Bates;Review of Financial Studies,1996

4. Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry;Bertus;Journal of Futures Markets,2009

5. Studies in stock price volatility changes. Proceedings of the 1976 meeting of the business and economic statistics section;Black;American Statistical Association,1976

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