SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A note on the hedging effectiveness of GARCH models · Study

ArticleShelves

ArticleA note on the hedging effectiveness of GARCH models

Donald D. Lien2007

Article2007

A note on the hedging effectiveness of GARCH models

44 citations·0/0 files stored·International Review of Economics & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 44 citations exist upstream.

References

1979The Hedging Performance of the New Futures Markets 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1991Estimating time‐varying optimal hedge ratios on futures markets 2002Evaluating the hedging performance of the constant-correlation GARCH model 2007Effectiveness of Minimum-Variance Hedging 2005The use and abuse of the hedging effectiveness measure 2005A note on the superiority of the OLS hedge ratio 2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract

Cited by

2020Optimal futures hedging for energy commodities: An application of the GAS model 2013Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach 2012Hedging effectiveness of REIT futures 2007Hedging effectiveness comparisons: A note 2011Sudden changes in variance and time varying hedge ratios 2010

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Do commodities make effective hedges for equity investors?article · 5 shared references 2013Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Schemearticle · 5 shared references 2015Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approachesarticle · 5 shared references 2007A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratiosarticle · 4 shared references 2007Effectiveness of Minimum-Variance Hedgingarticle · 4 shared references 2015A regime switching approach for hedging tanker shipping freight ratesarticle · 4 shared references

Details

Year2007

Typearticle

Published2007-08-01

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.iref.2007.07.004

openalex_workW1982631902

Links

Imported from OpenAlex (CC0) — nothing here is generated.

A note on the relationship between the variability of the hedge ratio and hedging performance

2020Quantile hedge ratio for forward freight market