淡江大學機構典藏:Item 987654321/116962
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    题名: Analyzing the Impacts of Foreign Exchange and Oil Price on Biofuel Commodity Futures
    作者: Shu-Mei Chiang,;Chun-Da Chen,;Chien-Ming Huang
    关键词: Commodity futures;U.S. dollar index;Oil price;ARJI-trend model
    日期: 2019-09
    上传时间: 2019-09-11 12:10:41 (UTC+8)
    出版者: ELSEVIER
    摘要: 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.
    關聯: Journal of International Money and Finance 96, p.37-48
    DOI: 10.1016/j.jimonfin.2019.04.007
    显示于类别:[財務金融學系暨研究所] 期刊論文

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