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A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
14 references·12 citing·40 second hop
A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length (1995)A statistical model for the relationship …Estimating multiperiod hedge ratios in cointegrated markets (1993)Estimating multiperiod hedge …Two‐step testing procedure for price discovery role of futures prices (1992)Two‐step testing procedure fo…Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges (1992)Hedge period length and Ex‐an…The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)The impact of the lengths of …Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Estimating time‐varying optimal hedge ratios on futures markets (1991)Estimating time‐varying optim…A cointegration test for market efficiency (1991)A cointegration test for mark…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Cointegration and Error Correction Mechanisms (1989)Cointegration and Error Corre…Testing for Common Trends (1988)Testing for Common TrendsTHE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES (1982)THE HEDGING EFFECTIVENESS OF …A note on the hedging effectiveness of foreign currency futures (1981)A note on the hedging effecti…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Optimal hedging in the US natural gas market: The effect of maturity and cointegration (2017)Optimal hedging in the US nat…The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated (2011)The Effect of the Hedge Horiz…An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011)An empirical analysis of dyna…The incremental value of a futures hedge using realized volatility (2009)The incremental value of a fu…Hedging effectiveness of the Athens stock index futures contracts (2008)Hedging effectiveness of the …Hedging index exchange traded funds (2007)Hedging index exchange traded…Effectiveness of Minimum-Variance Hedging (2007)Effectiveness of Minimum-Vari…An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis (2006)An empirical analysis of the …Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis (2005)Multiscale hedge ratio betwee…An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios (2004)An empirical analysis of the …Multiperiod hedging with futures contracts (2002)Multiperiod hedging with futu…Hedging in the Freight Futures Market (2000)Hedging in the Freight Future…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)A cointegration test for oil futures market efficiency (1993)The relationship between spot and futures prices: Evidence from the crude oil market (1999)The relative efficiency of commodity futures markets (1999)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Job security regulations and the dynamic demand for industrial labor in India and Zimbabwe (1993)Forecasting in cointegrated systems (1995)Futures hedge ratios: a review (2003)The pricing of commodity contracts (1976)Exchange-rate determination : a survey of popular views and recent models (1978)Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Weather Derivatives and Weather Risk Management (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Unbiasedness and time varying risk premia in the crude oil futures market (1994)Asset storability and price discovery in commodity futures markets: A new look (2001)Fundamentals, Trader Activity and Derivative Pricing (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note (1995)Hedging stocks with oil (2019)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)Efficiency tests of agricultural commodity futures markets in China (2005)
this work references cited by second hop

References

  • 1988Testing for Common Trends1,894 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
  • 1989Cointegration and Error Correction Mechanisms177 cited
  • 1991Futures market efficiency: Evidence from cointegration tests175 cited
  • 1991A cointegration test for market efficiency149 cited
  • 1992Two‐step testing procedure for price discovery role of futures prices132 cited
  • 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
  • 1993Estimating multiperiod hedge ratios in cointegrated markets96 cited
  • 1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures87 cited
  • 1992Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges80 cited
  • 1981A note on the hedging effectiveness of foreign currency futures75 cited

Cited by

  • 2006

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An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
84 cited
  • 2007Hedging index exchange traded funds82 cited
  • 2007Effectiveness of Minimum-Variance Hedging66 cited
  • 2004An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios62 cited
  • 2000Hedging in the Freight Futures Market62 cited
  • 2011An empirical analysis of dynamic multiscale hedging using wavelet decomposition57 cited
  • 2005Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis45 cited
  • 2011The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated44 cited
  • 2009The incremental value of a futures hedge using realized volatility43 cited
  • 2008Hedging effectiveness of the Athens stock index futures contracts31 cited
  • 2017Optimal hedging in the US natural gas market: The effect of maturity and cointegration29 cited
  • 2002Multiperiod hedging with futures contracts25 cited