The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*

Francis Haeuck In · Sangbae Kim

178 citations0/0 files storedThe Journal of Business

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Francis In, Sangbae Kim, The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis, The Journal of Business, Vol. 79, No. 2 (March 2006), pp. 799-820

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References

1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1990The Dynamics of Stock Index and Stock Index Futures Returns 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?2002The Effect of Asymmetries on Optimal Hedge Ratios

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