The response of volume and returns of the information shocks in chinaEs commodity futures markets
Article Abstract:
Using the methodologies Bivariate Moving Average Representation (BMAR) and Bivariate Vector Auto regression (BVAR) the response to returns and volume to different information shocks in ChinaEs commodity future markets is analyzed. The conclusions are given on the bases of the studies conducted in stock markets using these methodologies.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Optimal hedging with a regime-switching time-varying correlation GARCH model
Article Abstract:
The development of a Markov regime-switching time-varying correlation generalized autoregressive conditional heteroscedasticity model, to estimate time-varying minimum-variance hedge ratios for stock markets in Japan and Hong Kong, is described.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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An empirical analysis of the efficiency of the Osaka Rice Market during Japan's Tokugawa era
Article Abstract:
The efficiency of the first futures market, the Dojima Rice Market of Osaka, Japan, is evaluated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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