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Hedging and nonlinear risk exposure
16 references·1 citing·45 second hop
Hedging and nonlinear risk exposure (2001)Hedging and nonlinear risk exposureCo-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Spurious Regressions in Econometrics (2003)Spurious Regressions in Econo…On the optimal hedge under unbiased futures prices (1995)On the optimal hedge under un…STRATEGIC RISK MANAGEMENT (1990)STRATEGIC RISK MANAGEMENTCurrency Fluctuations in the Post-Bretton Woods Era (1990)Currency Fluctuations in the …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…International trade with forward-futures markets under exchange rate and price uncertainty (1986)International trade with forw…EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE* (1986)EXPLORING EQUILIBRIUM RELATIO…Optimal international hedging in commodity and currency forward markets (1985)Optimal international hedging…Optimal hedging in the futures market under price uncertainty (1983)Optimal hedging in the future…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Hedging and the Competitive Firm under Price Uncertainty (1979)Hedging and the Competitive F…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Information, futures prices, and stabilizing speculation (1978)Information, futures prices, …On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Exchange rate exposure: A nonparametric approach (2011)Exchange rate exposure: A non…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Managerial Risk Preferences for Below-Target Returns (1980)International trade and exchange rate volatility (1992)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)Expectations and the neutrality of money (1972)ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)Asset Prices in an Exchange Economy (1978)Further results on the informational efficiency of competitive stock markets (1978)Asset Valuation in an Experimental Market (1982)International Commodity Agreements: An obituary notice (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Dealing with Structural Breaks (2005)Testing for Error Correction in Panel Data* (2007)Relationships among carbon emissions, economic growth, energy consumption and population growth: Testing Environmental Kuznets Curve hypothesis for Brazil, China, India and Indonesia (2016)The Framing of Decisions and the Psychology of Choice (1981)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)European Exchange Rate Credibility Before the Fall (1993)Exchange Rates and Oil Prices (1998)Oil prices and exchange rates: Norwegian evidence (2004)American Economic Review (2019)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Multivariate Stochastic Variance Models (1994)Spurious regression and residual-based tests for cointegration in panel data (1999)Informed Trading in Stock and Option Markets (2004)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1986EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE*795 cited
  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • 1978Information, futures prices, and stabilizing speculation391 cited
  • 1979Hedging and the Competitive Firm under Price Uncertainty390 cited
  • 1990Currency Fluctuations in the Post-Bretton Woods Era284 cited
  • 2003Spurious Regressions in Econometrics255 cited
  • 1990STRATEGIC RISK MANAGEMENT179 cited
  • 1986International trade with forward-futures markets under exchange rate and price uncertainty161 cited
  • 1983Optimal hedging in the futures market under price uncertainty103 cited
  • 1985Optimal international hedging in commodity and currency forward markets

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95 cited
  • 1995On the optimal hedge under unbiased futures prices72 cited
  • Cited by

    • 2011Exchange rate exposure: A nonparametric approach27 cited