教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
學年108
學期1
出版(發表)日期2019/09/01
作品名稱Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
作品名稱(其他語言)
著者Chiang, S.M.; Chen, C.D.; HuangChien-Ming
單位
出版者
著錄名稱、卷期、頁數Journal of International Money and Finance 96, p.37-48
摘要This paper employs an ARJI-trend model that combines the autoregressive jump intensity (ARJI) and component models to analyze the effects of the U.S. dollar index and oil prices on the dynamic properties of biofuel-related commodity futures. The results show that the ARJI-trend model not only provides a better fit for the data on the volatility dynamics of corn, soybean, and wheat futures, but also performs better in terms of out-of-sample forecasting. The U.S. dollar index and oil prices both generate significant impacts on the returns of the futures. Since the coexistence of permanent component, transitory component, and time-varying jumps are observed in those futures, the ARJI-trend model is beneficial for acquiring a better understanding of the differential attributes among corn, soybean, and wheat futures.
關鍵字Commodity futures;U.S. dollar index;Oil price;ARJI-trend model
語言英文(美國)
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版,紙本
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