Co-integration of timber and financial markets - Implications for portfolio selection

被引：0
|
作者：
Heikkinen, VP [1 ]
机构：
[1] Varma Sampo Mutual Pens Insurance Co, Investments, Helsinki 00098, Finland
来源：
FOREST SCIENCE | 2002年 / 48卷 / 01期
关键词：
forestry returns; co-integration; VAR-models;
D O I：
暂无
中图分类号：
S7 [林业];
学科分类号：
0829 ; 0907 ;
摘要：
The short-run and long-run correlations between Finnish forestry returns and financial market instruments are examined. Financial assets include the general stock market index HEX, bond rate and deposit rate. The results indicate that timber prices and bond and deposit rates are co-integrated in the long run. The study demonstrates the influence of co-integration on expected asset returns and the optimal investment portfolio.
引用
收藏
页码：118 / 128
页数：11
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