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Hedging with foreign currency denominated stock index futures: evidence from the MSCI Taiwan index futures market
16 references·1 citing·35 second hop
Hedging with foreign currency denominated stock index futures: evidence from the MSCI Taiwan index futures market (2002)Hedging with foreign currency denominated…Temporal relationships and dynamic interactions between spot and futures stock markets (1996)Temporal relationships and dy…Time-varying distributions and the optimal hedge ratios for stock index futures (1995)Time-varying distributions an…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Price dynamics and error corr…Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Hedging with stock index futu…Estimating time‐varying optimal hedge ratios on futures markets (1991)Estimating time‐varying optim…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity (1988)Testing the martingale hypoth…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Hedging with stock index futures: Theory and application in a new market (1985)Hedging with stock index futu…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Theoretical Framework of Foreign Exchange Exposure, Competition and the Market Value of Domestic Corporations (2013)Theoretical Framework of Fore…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 (2001)Some Recent Developments in Futures Hedging (2002)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)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)International Diversification of Investment Portfolios (1970)An Analytic Derivation of the Efficient Portfolio Frontier (1972)International Portfolio Choice and Corporation Finance: A Synthesis (1983)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Currency Hedging for International Portfolios (1993)Systematic Risk of the Multinational Corporation (1998)A Markov Model of Switching-Regime ARCH (1994)Another Look at Models of the Short-Term Interest Rate (1996)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
  • 1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
  • 1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited
  • 1996Temporal relationships and dynamic interactions between spot and futures stock markets182 cited
  • 1988Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity109 cited

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  • 1995Time-varying distributions and the optimal hedge ratios for stock index futures107 cited
  • 1985Hedging with stock index futures: Theory and application in a new market98 cited
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    • 2013Theoretical Framework of Foreign Exchange Exposure, Competition and the Market Value of Domestic Corporations13 cited