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The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model
16 references·3 citing·33 second hop
The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model (1995)The Hedging Effectiveness of ECU Futures …Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Hedging with stock index futu…Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges (1992)Hedge period length and Ex‐an…The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)The impact of the lengths of …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Comparison of analytical approaches for estimating hedge ratios for agricultural commodities (1987)Comparison of analytical appr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Stability and the hedging performance of foreign currency futures (1983)Stability and the hedging per…THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES (1982)THE HEDGING EFFECTIVENESS OF …Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…Futures Trading and Hedging (1976)Futures Trading and HedgingThe Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets (2013)Forecasting the daily dynamic…Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets (2008)Short-run deviations and time…Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Calculating the optimal hedge…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Futures Trading and the Storage of Cotton and Wheat (1958)Some Recent Developments in Futures Hedging (2002)Modelling and measuring price discovery in commodity markets (2010)Review of Economic Studies (2010)American Economic Review (2019)Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note (1995)Futures hedge ratios: a review (2003)A Markov regime switching approach for hedging energy commodities (2008)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited
  • 1976Futures Trading and Hedging152 cited
  • 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
  • 1987Comparison of analytical approaches for estimating hedge ratios for agricultural commodities90 cited
  • 1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures87 cited
  • 1992

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Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges
80 cited
  • 1983Stability and the hedging performance of foreign currency futures80 cited
  • Cited by

    • 2008Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets35 cited
    • 2006Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach33 cited
    • 2013Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets25 cited