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ArticleFutures hedge ratios: a review

Sheng-Syan Chen2003

Article2003

Futures hedge ratios: a review

Sheng-Syan Chen · Cheng Few Lee · Keshab Shrestha

200 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1988Testing for Common Trends 1979The Hedging Performance of the New Futures Markets 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

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2010Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets 2004A selected review of agricultural commodity futures and options markets 2007Effectiveness of Minimum-Variance Hedging 2005A random coefficient autoregressive Markov regime switching model for dynamic futures hedging 2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX

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Year2003

Typearticle

Published2003-04-04

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations200

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1062-9769(02)00191-6

openalex_workW1979376891

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