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Hedging Effectiveness in the Index Futures Market
16 references·0 citing·43 second hop
Hedging Effectiveness in the Index Futures Market (2011)Hedging Effectiveness in the Index Future…Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Losing Money on Arbitrage: Op…Futures hedge ratios: a review (2003)Futures hedge ratios: a reviewEvaluating the hedging performance of the constant-correlation GARCH model (2002)Evaluating the hedging perfor…Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash (1996)Index Arbitrage and Nonlinear…Direct Tests of Index Arbitrage Models (1996)Direct Tests of Index Arbitra…Time-varying distributions and the optimal hedge ratios for stock index futures (1995)Time-varying distributions an…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1 (1994)THRESHOLD AUTOREGRESSIVE MODE…Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994)Mean Reversion of Standard & …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)A Transactions Data Test of S…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A selected review of agricultural commodity futures and options markets (2004)Effectiveness of Minimum-Variance Hedging (2007)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)The relation between forward prices and futures prices (1981)Hedging Performance and Basis Risk in Stock Index Futures (1984)Options Arbitrage in Imperfect Markets (1989)Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Price discovery in the German equity index derivatives markets (1999)Premiums-Discounts and Exchange Traded Funds (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Asset storability and price discovery in commodity futures markets: A new look (2001)Some Recent Developments in Futures Hedging (2002)An analysis of euro area sovereign CDS and their relation with government bonds (2015)The pricing of commodity contracts (1976)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Theory of Rational Option Pricing (1973)Noise Trader Risk in Financial Markets (1990)Theory of rational option pricing (2005)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Limits-to-arbitrage, investment frictions, and the asset growth anomaly (2011)The TIPS‐Treasury Bond Puzzle (2013)A Markov Model of Switching-Regime ARCH (1994)Another Look at Models of the Short-Term Interest Rate (1996)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 2003Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities331 cited
  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?303 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 2003Futures hedge ratios: a review200 cited
  • 2002Evaluating the hedging performance of the constant-correlation GARCH model178 cited
  • 1996Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash150 cited
  • 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited
  • 1994THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1116 cited
  • 1995

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Time-varying distributions and the optimal hedge ratios for stock index futures
107 cited
  • 1996Direct Tests of Index Arbitrage Models85 cited
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