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What is Impact of Determinants on Commodity Futures about?

The paper examines price volatility and hedging behavior of commodity futures indices and stock market indices. Using GARCH and DCC models, it finds that range-based DCC model outperforms return-based DCC model for most cases when evaluating hedging performances of short and long hedgers with traditional variance-based and utility-based measures.

Author

Chitty cls

Language

EN