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A note on the hedging effectiveness of GARCH models

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References

1979The Hedging Performance of the New Futures Markets1,566 cited
1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
2002Evaluating the hedging performance of the constant-correlation GARCH model178 cited
2007Effectiveness of Minimum-Variance Hedging66 cited
2005The use and abuse of the hedging effectiveness measure60 cited
2005A note on the superiority of the OLS hedge ratio56 cited
2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract55 cited
1995Simultaneously determined, time-varying hedge ratios in the soybean complex53 cited

Cited by

2020Optimal futures hedging for energy commodities: An application of the GAS model28 cited
2013Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach27 cited
2012Hedging effectiveness of REIT futures26 cited
2007Hedging effectiveness comparisons: A note23 cited
2011Sudden changes in variance and time varying hedge ratios20 cited
2010

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

17 cited

2020Quantile hedge ratio for forward freight market17 cited

2014Evaluating the Effectiveness of Futures Hedging13 cited