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Essays in dynamic futures hedging an...

Lee, Hsiang-Tai.

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Essays in dynamic futures hedging and consumer shopping behavior.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in dynamic futures hedging and consumer shopping behavior./
作者:	Lee, Hsiang-Tai.
面頁冊數:	93 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-07, Section: A, page: 2668.
Contained By:	Dissertation Abstracts International66-07A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3184150
ISBN:	9780542255663

Essays in dynamic futures hedging and consumer shopping behavior.
Lee, Hsiang-Tai.

Essays in dynamic futures hedging and consumer shopping behavior. - 93 p.

Source: Dissertation Abstracts International, Volume: 66-07, Section: A, page: 2668.

Thesis (Ph.D.)--Washington State University, 2005.

This dissertation consists of three manuscripts. In the first two manuscripts, we propose two new Markov regime switching models for estimating time-varying minimum variance hedge ratios and in the third manuscript, we perform an empirical study of consumer food shopping behavior across grocery formats in Mexico.

ISBN: 9780542255663Subjects--Topical Terms:

626650
Economics, Finance.

Essays in dynamic futures hedging and consumer shopping behavior.
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500 $a Source: Dissertation Abstracts International, Volume: 66-07, Section: A, page: 2668.
500 $a Chair: Jonathan K. Yoder.
502 $a Thesis (Ph.D.)--Washington State University, 2005.
520 $a This dissertation consists of three manuscripts. In the first two manuscripts, we propose two new Markov regime switching models for estimating time-varying minimum variance hedge ratios and in the third manuscript, we perform an empirical study of consumer food shopping behavior across grocery formats in Mexico.
520 $a There are two principal approaches for estimating time-varying minimum variance hedge ratios. The first approach treats the hedge ratio as a time-varying coefficient, modeled as a random coefficient autoregressive (RCAR) process or a Markov regime switching (MRS) with time-varying transition probabilities. In the first manuscript, we propose a Random Coefficient Autoregressive Markov Regime Switching (RCARRS) model for estimating time-varying minimum variance hedge ratios. The RCARRS model possesses both properties of Markov regime switching and random coefficient autoregressive. RCARRS provides a more general state-space framework for estimating the time-varying minimum variance hedge ratio.
520 $a The other approach estimates the hedge ratios by estimating conditional second moments of the spot and futures price series. Various bivariate GARCH models have been used for this type of estimation. In the second manuscript, we develop a new bivariate Markov regime switching BEKK-GARCH model (RS-BEKK-GARCH) for estimating the time-varying minimum variance hedge ratio. RS-BEKK-GARCH nests within it both bivariate BEKK-GARCH model and Gray's univariate generalized regime-switching (GRS) model. RS-BEKK-GARCH provides a very general framework for studying time-varying volatilities and estimating time-varying hedge ratios.
520 $a In the third manuscript, we perform an empirical study of consumer food shopping behavior across various grocery formats in Mexico. We study how household demographics affect their shopping behaviors and find that consumers shop more frequently at outdoor market places and "Mom and Pop" stores if they are the primary shoppers for the household, have a large family, and are less educated. Younger consumers are more likely to shop at supermarkets and supercenters. Further, shoppers tend to frequent either outdoor markets and "Mom and Pop" stores, or supermarkets and supercenters.
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