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Hedge ratios in Greek stock index futures market
16 references·6 citing·25 second hop
Hedge ratios in Greek stock index futures market (2004)Hedge ratios in Greek stock index futures…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…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…Generalized Optimal Hedge Ratio Estimation (1989)Generalized Optimal Hedge Rat…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Cross Hedging (1981)Cross HedgingThe Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…Value, Capital, and Growth: Papers in Honour of Sir John Hicks. (1969)Value, Capital, and Growth: P…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Crude oil price shocks and hedging performance: A comparison of volatility models (2019)Crude oil price shocks and he…Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets (2013)Forecasting the daily dynamic…The efficiency of Greek stock index futures market (2008)The efficiency of Greek stock…Hedging effectiveness of the Athens stock index futures contracts (2008)Hedging effectiveness of the …Hedging Effectiveness in Greek Stock Index Futures Market (2008)Hedging Effectiveness in Gree…Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Calculating the optimal hedge…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)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)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 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
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1989Generalized Optimal Hedge Ratio Estimation381 cited
  • 1981Cross Hedging283 cited
  • 1969

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Value, Capital, and Growth: Papers in Honour of Sir John Hicks.
273 cited

Cited by

  • 2006Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach33 cited
  • 2008The efficiency of Greek stock index futures market31 cited
  • 2008Hedging effectiveness of the Athens stock index futures contracts31 cited
  • 2008Hedging Effectiveness in Greek Stock Index Futures Market30 cited
  • 2019Crude oil price shocks and hedging performance: A comparison of volatility models29 cited
  • 2013Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets25 cited