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Estimation of the Optimal Futures Hedge
0 references·16 citing·47 second hopsampled
Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Futures HedgeHedging stocks with oil (2019)Hedging stocks with oilDynamic Conditional Beta (2016)Dynamic Conditional BetaCrude oil hedging strategies using dynamic multivariate GARCH (2011)Crude oil hedging strategies …Testing for volatility interactions in the Constant Conditional Correlation GARCH model (2009)Testing for volatility intera…NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009)NEGATIVE VOLATILITY SPILLOVER…Dynamic hedging with futures: A copula‐based GARCH model (2008)Dynamic hedging with futures:…AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (2004)AN EXTENDED CONSTANT CONDITIO…Futures hedge ratios: a review (2003)Futures hedge ratios: a reviewThe Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach (2002)Testing for constant hedge ra…What moves the gold market? (2001)What moves the gold market?Reducing the Impacts of Energy Price Volatility Through Dynamic Portfolio Selection (1998)Reducing the Impacts of Energ…Another Look at Models of the Short-Term Interest Rate (1996)Another Look at Models of the…Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note (1995)Bivariate GARCH estimation of…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…Estimating time‐varying optimal hedge ratios on futures markets (1991)Estimating time‐varying optim…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)Statistical analysis of cointegration vectors (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Volatility forecasting for risk management (2002)Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis (2005)The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis* (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Evaluating the hedging performance of the constant-correlation GARCH model (2002)Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Intraday periodicity and volatility persistence in financial markets (1997)Gold and oil futures markets: Are markets efficient? (2010)Volatility transmission between gold and oil futures under structural breaks (2012)Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Volatility and cross correlation across major stock markets (1998)A New Approach to Markov-Switching GARCH Models (2004)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)A Theory of the Term Structure of Interest Rates (1985)Deviance Information Criterion for Comparing Stochastic Volatility Models (2004)Testing for Predictability in Conditionally Heteroskedastic Stock Returns (2014)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)An Intertemporal Capital Asset Pricing Model (1973)Dynamic Conditional Correlation (2002)COVID−19 and Oil Price Risk Exposure (2020)Hedging Strategies of Green Assets against Dirty Energy Assets (2020)Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis (2021)The Cross-Section of Expected Stock Returns (1992)Econometric Analysis of Cross Section and Panel Data (2001)Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Factor Structure in Commodity Futures Return and Volatility (2018)Modeling Corporate Bond Returns (2023)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)Oil shocks and their impact on energy related stocks in China (2012)Oil volatility, oil and gas firms and portfolio diversification (2018)
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  • 1994A Markov Model of Switching-Regime ARCH638 cited
  • 1996Another Look at Models of the Short-Term Interest Rate306 cited
  • 2011Crude oil hedging strategies using dynamic multivariate GARCH305 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited
  • 1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
  • 2003Futures hedge ratios: a review200 cited
  • 1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note200 cited
  • 2001What moves the gold market?194 cited
  • 2019Hedging stocks with oil172 cited
  • 2016Dynamic Conditional Beta141 cited
  • 2008Dynamic hedging with futures: A copula‐based GARCH model120 cited
  • 2009Testing for volatility interactions in the Constant Conditional Correlation GARCH model117 cited
  • 2009NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL111 cited
  • 2004AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE110 cited
  • 2002Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach

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109 cited
  • 1998Reducing the Impacts of Energy Price Volatility Through Dynamic Portfolio Selection108 cited