摘要:

AbstractSix different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures. The estimated OHRs reveal that the standard assumption of a time‐invariant OHR is inappropriate. For each commodity the estimated OHR path appears non‐stationary, which has important implications for hedging strat

ISSN:0883-7252    

DOI:10.1002/jae.3950060202

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex‐ante time‐series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR‐generated expectations are then used to construct a risk premium time‐series. This risk premium series seems to be more reliable than the ones obtained using either survey data on expectations of the future spot exchange rate or the ex‐post realized spot exchange rate. Tests on the risk premium series suggest that a risk premium was present, but that it was virtually constant throughout the sample. The conditional variance of the risk premium changed over time, but its unconditional distribution seemed stable across subsamples. Despite these features, the volatility of the series was substantial and varied considerably thro

ISSN:0883-7252    

DOI:10.1002/jae.3950060203

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractThis paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH‐M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time‐varying term premium, and this conclusion is independent of the hypothesized ARCH mo

ISSN:0883-7252    

DOI:10.1002/jae.3950060204

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractThe separability of categories of consumption expenditures and savings are empirically examined in the context of an error‐correction model of aggregate quarterly expenditure allocations in Canada. Some evidence is found for separability of consumption allocations from savings in both the long run structure and short run dynamics of the model lending some support to the use of the assumption in modelling consumption behaviou

ISSN:0883-7252    

DOI:10.1002/jae.3950060205

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractIn this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard function is misspecified. Hence, if the estimated hazard function is deemed restrictive, tests for functional form misspecification should accompany any test of heterogeneity. An empirical illustration based on Kennan's (1985) model of strikes is used to show that incorrect inferences may be drawn, as in a number of previous analyses, if the relevant restrictions are not tested jointly.

ISSN:0883-7252    

DOI:10.1002/jae.3950060206

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractIn empirical demand analysis separability restrictions are usually imposed as maintained hypotheses. The separability inflexibility of most functional forms makes parametric tests of these restrictions appear problematic. We follow Pudney (1981) in stressing the usefulness of a description of the separable structure of preferences underlying an estimated model, and propose a non‐iterative method for the production of such a description. An illustration with different models estimated for nine categories of goods on French aggregate time‐series data is presen

ISSN:0883-7252    

DOI:10.1002/jae.3950060207

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

摘要:

AbstractSTATA 2.1 offers state‐of‐the‐art data management features and statistical procedures capable of handling very large data sets. Its graphics capabilities are excellent as well. Although the package performs a respectable array of econometrics procedures quickly and easily, its menu of available techniques is relatively weak compared to existing econometrics packages. However, since STATA plans a new release to be aimed at the econometrics market, this shortcoming could be mitigated substantially in future ver

ISSN:0883-7252    

DOI:10.1002/jae.3950060208

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950060209

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950060210

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950060211

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1991

数据来源: WILEY