| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Asymmetry, Risk, and Correlation Dynamics in the U.S. Fiber Market
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| Autores: |
Fadiga, Mohamadou L.
Misra, Sukant K.
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| Data: |
2005-05-16
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| Ano: |
2005
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| Palavras-chave: |
Cotton
Volatility
Asymmetry
Multivariate conditional correlations
Optimal
Risk and Uncertainty
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| 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.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
16306
http://purl.umn.edu/19459
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| Editor: |
AgEcon Search
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| Relação: |
American Agricultural Economics Association>2005 Annual meeting, July 24-27, Providence, RI
Selected Paper 136390
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| Formato: |
23
application/pdf
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