Jumping hedges: An examination of movements in copper spot and futures markets

Journal of Futures Markets

Volumn 26, Issue 2, 2006, Pages 169-188

  Chan, Wing H ^a   Young, Denise ^b  

^a WILFRID LAURIER UNIVERSITY   (Canada)

^b UNIVERSITY OF ALBERTA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645277839     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20190     Document Type: Review

References (27)

1. Agirkay, V., Booth, G., Hatem, J., & Mustafa, C. (1991). Conditional dependence in precious metal prices. Financial Review, 26, 367-386.
2. Andersen, T. G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
3. Baillie, R. T., & Myers, R. J. (1989). Modeling commodity price distributions and estimating the optimal futures hedge (Working Paper No. 201). New York: Columbia University, Center for the Study of Futures Markets.
4. Baillie, R. T., & Myers, R. J. (1991). Bivariate garch estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6, 109-124.
5. Bracker, K., & Smith, K. (1999). Detecting and modeling changing volatility in the copper futures market. Journal of Futures Markets, 19, 79-100.
6. Brunetti, C., & Gilbert, C. (2000). Bivariate figarch and fractional cointegration. Journal of Empirical Finance, 7, 509-530.
7. Chan, W. H. (2003). A correlated bivariate poisson jump model for foreign exchange. Empirical Economics, 28, 669-689.
8. Chan, W. H. (2004). Conditional correlated jump dynamics in foreign exchange. Economics Letters, 83, 23-28.
9. Chan, W. H., & Maheu, J. M. (2002). Conditional jump dynamics in stock market returns. Journal of Business & Economic Statistics, 79, 377-389.
10. Chang, C. W., & Chang, J. S. K. (2003). Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging. Journal of Futures Markets, 23, 1209-1237.
11. Chang, C. W., Chang, J. S. K., & Fang, H. (1996). Optimum futures hedges with jump risk and stochastic basis. Journal of Futures Markets, 16, 441-458.
12. Chang, E., Chen, C., & Chen, S. N. (1990). Risk and return in copper, platinum, and silver futures. Journal of Futures Markets, 10, 29-39.
13. Drost, F. C. Nijman, T. E., & Werker, B. J. M. (1998). Estimation and testing in models containing both jumps and conditional heteroskedasticity. Journal of Business & Economic Statistics, 16, 237-243.
14. Edelstein, D. (2001). Copper. Minerals Yearbook, U.S. Geological Survey.
15. Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized arch. Econometric Theory, 11, 122-150.
16. Figuerola-Ferretti, I., & Gilbert, C. (2001). Price variability and marketing method in non-ferrous metals: Slade's analysis revisited. Resources Policy, 27, 169-177.
17. Maheu, J. M., & McCurdy, T. H. (2004). News arrival jump dynamics and volatility components for individual stock returns. Journal of Finance, 59, 755-793.
18. Moschini, G. C., & Myers, R. J. (2002). Testing for constant hedge ratios in commodity markets: A multivariate garch approach. Journal of Empirical Finance, 9, 589-603.
19. NYMEX. (2001). A guide to metals hedging. New York: New York Mercantile Exchange.
20. Rockman, A., & Kennedy, M. (2003). To hedge or not to hedge: Considering a strategy. In H. Cameron (Ed.), Hedging in the mining industry: Strategy, control, and governance (pp. 5-12). PriceWaterhouseCoopers.
21. Saphores, J. D., Khalaf, L., & Pelletier, D. (2002). On jumps and arch effects in natural resource prices: An application to stumpage prices from Pacific Northwest national forests. American Journal of Agriculture Economics, 84, 387-400.
22. Slade, M. (1988). Pricing of metals. Kingston: Centre for Resource Studies.
23. Slade, M. (1991a). Market structure, marketing method, and price instability. Quarterly Journal of Economics, 106, 1309-1339.
24. Slade, M. (1991b). Strategic pricing with customer rationing: The case of primary metals. Canadian Journal of Economics, 42, 70-100.
25. Smith, K., & Bracker, K. (2003). Forecasting changes in copper futures volatility with garch models using an iterated algorithm. Review of Quantitative Finance and Accounting, 20, 245-265.
26. Varela, O. (1999). Futures and realized cash or settle prices for gold, silver, and copper. Review of Financial Economics, 8, 121-138.
27. Wooldridge, J. M. (1991). On the application of robust, regression-based diagnostics to models of conditional means and conditional variances. Journal of Econometrics, 47, 5-46.