Librarian View
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061127s2006 xnaa ab 000 0 eng d
019
1
a| 41082614
040
a| NSL
b| eng
d| NSL
d| ANL
042
a| anuc
082
0
4
a| 332.63222
2| 22
100
1
a| Milunovich, George.
245
1
0
a| Hedgers, Investors and futures return volatility :
b| the case of NYMEX crude oil /
c| George Milunovich and Ronald D. Ripple.
260
a| Sydney :
b| Dept. of Economics, Macquarie University,
c| 2006.
300
a| 24 p. :
b| ill. ;
c| 30 cm.
490
1
a| Macquarie economics research papers,
x| 1833-5020 ;
v| no. 7/2006
500
a| Cover title.
500
a| "October 2006."
504
a| Includes bibliographical references (p. 21-22)
520
3
a| We present a new model to evaluate the volatility of futures returns. The model is a combination of Dynamic Correlation and an augmented EGARCH, which allows us to evelutate the differential effects of the trading activity of two classes of optimizing traders. We apply the model to the NYMEX crude oil futures contract, and we find that the rebalancing activity of hedgers has a significant and positive effect on returns volatility. However, we also find that the rebalancing activity attributable to crude oil futures for non-hedging investors has no significant effect.
530
a| An electronic version is available via the Internet at: http://www.econ.mq.edu.au/__data/assets/pdf_file/20975/07_Milunovich-Ripple-Hedgers.pdf.
650
0
a| Portfolio management
x| Econometric models.
650
0
a| Securities
x| Prices
x| Econometric models.
700
1
a| Ripple, Ronald D.
0| 97354
9| 6c1d71d3-738a-5a6f-af82-ada36c4b7f8f
710
2
a| Macquarie University.
b| Department of Economics.
0| 51882
9| 9c98fe03-cfef-53e4-b014-905b62613bcf
830
0
a| Macquarie economics research papers ;
v| no. 2006/7.
856
4
1
z| Electronic version
u| http://www.econ.mq.edu.au/__data/assets/pdf_file/20975/07_Milunovich-Ripple-Hedgers.pdf
999
f
f
i| c3c22973-d421-5912-a4f5-5590297199d3
s| 7367d4a8-6151-5eec-b6e9-8d9bed3a1028
952
f
f
a| National Library of Australia
b| Parkes
c| Parkes
d| Main Reading Room (AUSQ [Central])
e| Nq 330 MAC
h| Dewey Decimal classification
m| aa096b6d-888a-5607-ae02-b00e206dfb58
z| Holdings note: N pbk
952
f
f
a| National Library of Australia
b| Parkes
c| Parkes
d| Main Reading Room (AUSLQ [Central])
e| NLq 330 MAC
h| Dewey Decimal classification
m| cd55c1e1-ce8e-5b5d-b4b0-1605ad645cba
z| Holdings note: NL pbk