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BASIS VOLATILITY: IMPLICATIONS FOR HEDGING

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References

2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
1979The Hedging Performance of the New Futures Markets1,566 cited
1981The relation between forward prices and futures prices740 cited
1960The Theory of Hedging and Speculation in Commodity Futures617 cited
2016Handbook of Fixed‐Income Securities407 cited
1976A Note on the Variability of Futures Prices87 cited
1976Is Real-World Price a Tale Told by the Idiot of Chance?74 cited
1961The Search for a Risk Premium55 cited
1982Basis speculation in commodity futures: The maturity effect50 cited

Cited by

1990Minimum–variance hedging with futures revisited26 cited
2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures23 cited
1991Cross‐Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle18 cited

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