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The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*
6 references·16 citing·55 second hopsampled
The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis* (2006)The Hedge Ratio and the Empirical Relatio…The Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994)Mean Reversion of Standard & …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Causal structure among US corn futures and regional cash prices in the time and frequency domain (2018)Causal structure among US cor…Stock market contagion during the global financial crisis: A multiscale approach (2017)Stock market contagion during…Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe (2017)Long-Term Stock Market Volati…Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis (2017)Intraday price information fl…Multiscale correlation networks analysis of the US stock market: a wavelet analysis (2016)Multiscale correlation networ…Do oil price asymmetric effects on the stock market persist in multiple time horizons? 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Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Does Gold Glitter in the Long…The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework (2013)The influence of the internat…On the relationship between oil price and exchange rates: A wavelet analysis (2013)On the relationship between o…High Frequency Quoting: Short-Term Volatility in Bids and Offers (2013)High Frequency Quoting: Short…Contagion among major world markets: a wavelet approach (2013)Contagion among major world m…Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach (2012)Modeling nonlinear Granger ca…De-noising option prices with the wavelet method (2012)De-noising option prices with…International stock market indices comovements: a new look (2011)International stock market in…The CAPM and value at risk at different time-scales (2005)The CAPM and value at risk at…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Volatility forecasting for risk management (2002)Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis (2005)Price discovery and investor structure in stock index futures (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for causality (1980)Oil and the Macroeconomy since World War II (1983)Oil price and exchange rates: A wavelet based analysis for India (2013)Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach (2015)The nexus between COVID-19, temperature and exchange rate in Wuhan city: New findings from partial and multiple wavelet coherence (2020)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)The contribution of wavelets to the analysis of economic and financial data (1999)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)International Transmission of Stock Market Movements (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)International comovement of stock market returns: A wavelet analysis (2009)Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches (2016)Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?303 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited

Cited by

  • 2014Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon297 cited
  • 2012Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach212 cited
  • 2011International stock market indices comovements: a new look159 cited
  • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
  • 2013High Frequency Quoting: Short-Term Volatility in Bids and Offers135 cited
  • 2017Stock market contagion during the global financial crisis: A multiscale approach115 cited
  • 2017Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis115 cited
  • 2013The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework

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109 cited
  • 2018Causal structure among US corn futures and regional cash prices in the time and frequency domain102 cited
  • 2016Do oil price asymmetric effects on the stock market persist in multiple time horizons?101 cited
  • 2005The CAPM and value at risk at different time-scales95 cited
  • 2016Multiscale correlation networks analysis of the US stock market: a wavelet analysis90 cited
  • 2013On the relationship between oil price and exchange rates: A wavelet analysis89 cited
  • 2012De-noising option prices with the wavelet method86 cited
  • 2013Contagion among major world markets: a wavelet approach86 cited
  • 2017Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe86 cited