Data/hora: 04/06/2024 03:32:58

Provedor de dados: | 31
País: | United States
Título: | Asymmetry, Risk, and Correlation Dynamics in the U.S. Fiber Market
Autores: | Fadiga,   Mohamadou L.; Misra,   Sukant K.
Data: | 2005-05-16
Ano: | 2005
Palavras-chave: | Cotton; Volatility; Asymmetry; Multivariate conditional correlations; Optimal; Risk and Uncertainty.
Resumo: | This study looked at the dynamics of conditional correlations and hedging strategies in the US main cotton producing regions. A two-step procedure was utilized to model, estimate, and analyze volatility, conditional correlations, and the optimal hedge ratios using spot prices in the Delta, Southeast, Southern Plains, and the Southwest regions and the New York commodity exchanges December futures contracts.  The results indicate that volatilities in most of the regions are asymmetric and persistent. The derived conditional correlations and the optimal hedging ratios are dynamic although they do not have unit root. Moreover, the changes in agricultural policies altered the dynamics of correlations and producers' hedging strategies in the Delta, Southeast, and Southern Plains regions.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

16306

http://purl.umn.edu/19459

Editor: | AgEcon Search

Relação:

American Agricultural Economics Association&gt;2005 Annual meeting, July 24-27, Providence, RI

Selected Paper 136390

Formato:

23

application/pdf