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Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures
16 references·1 citing·35 second hop
Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures (2007)Basis Convergence and Long Memory in Vola…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Long memory and regime switching (2001)Long memory and regime switch…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Long memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Hedging with Chinese Metal Futures (2007)Hedging with Chinese Metal Fu…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis: Forecasting and Control (1977)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)The Pricing of Options and Corporate Liabilities (1973)5 Stochastic volatility (1996)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2001Long memory and regime switching1,162 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1996

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Modeling volatility persistence of speculative returns: A new approach
818 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • Cited by

    • 2007Hedging with Chinese Metal Futures22 cited