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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116962

    Title: Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
    Authors: Shu-Mei Chiang,;Chun-Da Chen,;Chien-Ming Huang
    Keywords: Commodity futures;U.S. dollar index;Oil price;ARJI-trend model
    Date: 2019-09
    Issue Date: 2019-09-11 12:10:41 (UTC+8)
    Publisher: ELSEVIER
    Abstract: 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.
    Relation: Journal of International Money and Finance 96, p.37-48
    DOI: 10.1016/j.jimonfin.2019.04.007
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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