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• W2066614422 abstract "Journal of Futures MarketsVolume 14, Issue 5 p. 619-635 Article Nonconstant optimal hedge ratio estimation and nested hypotheses tests Kevin P. McNew, Kevin P. McNew Kevin P. McNew is a Graduate Research Assistant in the Department of Agricultural and Resource Economics at North Carolina State University.Search for more papers by this authorPaul L. Fackler, Paul L. Fackler Paul L. Fackler is an Associate Professor, Department of Agricultural and Resource Economics, North Carolina State University.Search for more papers by this author Kevin P. McNew, Kevin P. McNew Kevin P. McNew is a Graduate Research Assistant in the Department of Agricultural and Resource Economics at North Carolina State University.Search for more papers by this authorPaul L. Fackler, Paul L. Fackler Paul L. Fackler is an Associate Professor, Department of Agricultural and Resource Economics, North Carolina State University.Search for more papers by this author First published: August 1994 https://doi.org/10.1002/fut.3990140508Citations: 14 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Bibliography Anderson, R. W. (1985): “Some Determinants of the Volatility of Futures Prices,” The Journal of Futures Markets, 5: 331– 348. Baillie, R. T., and Bollerslev, T. (1991): “Intra Day and Inter Day Volatility in Foreign Exchange Rates,” Review of Economic Studies, 58: 565– 586. Baillie, R. T., and Myers, R. J. (1991): “Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge,” Journal of Applied Econometrics, 6: 109– 124. Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroskedas- ticity,” Journal of Econometrics, 31: 307– 327. Cecchetti, S. G., Cumby, R. E., and Figlewski, S. (1988): “Estimation of the Optimal Futures Hedge,” Review of Economics and Statistics, 70: 623– 630. Davidson, R., and MacKinnon, J. G. (1993): Estimation and Inference in Econometrics. Oxford: Oxford University Press. Engle, R. F. (1982): “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U. K. Inflation,” Econometrica, 50: 987– 1008. Fackler, P. L., and McNew, K. P. (1993): “Multiproduct Hedging: Theory, Estimation and an Application,” Review of Agricultural Economics, 15: 521– 535. Garcia, P., Leuthold, R. M., and Zapata, H. (1986): “Lead-Lag Relationships between Trading Volume and Price Variability: New Evidence,” The Journal of Futures Markets, 6: 1– 10. Heifner, R. G. (1972): “Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding,” Agricultural Economic Research, 24: 25– 36. Jobson, J. D., and Fuller, W. A. (1980): “Least Squares Estimation When the Covariance Matrix and Parameter Vector Are Functionally Related,” Journal of the American Statistical Association, 75: 176– 181. Kahl, K. H. (1983): “Determination of the Recommended Hedging Ratio,” American Journal of Agricultural Economics, 65: 603– 605. Kamara, A. (1982): “Issues in Futures Markets: A Survey,” The Journal of Futures Markets, 2: 261– 294. Karpoff, J. M. (1987): “The Relationship between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, 22: 109– 126. Myers, R. J. (1991): “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets,” The Journal of Futures Markets, 11: 39– 53. Myers, R. J., and Thompson, S. R. (1989): “Generalized Optimal Hedge Ratio Estimation,” American Journal of Agricultural Economics, 71: 858– 868. Najand, M., and Yung, K. (1991): “A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets,” The Journal of Futures Markets, 11: 613– 621. Peck, A. E. (1975): “Hedging and Income Stability: Concepts, Implications and an Example,” American Journal of Agricultural Economics, 57: 410– 419. Said, S. E., and Dickey, D. A. (1984): “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrih, 71: 599– 607. Sims, C. A., Stock, J. H., and Watson, M. W. (1990): “Inference in Linear Time Series Models with Some Unit Roots,” Econometrica, 58: 113– 144. Stock, J. H., and Watson, M. W. (1988): “Variable Trends in Economic Time Series,” Journal of Economic Perspectives, 2: 147– 174. Yang, S. R., and Brorsen, B. W. (1992): “Nonlinear Dynamics of Daily Cash Prices,” American Journal of Agricultural Economics, 74: 706– 715. Citing Literature Volume14, Issue5August 1994Pages 619-635 ReferencesRelatedInformation" @default.
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