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ArticleBivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note

Tae H. Park1995

Article1995

Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note

Tae H. Park · Lorne N. Switzer

200 citations·0/0 files stored·Journal of Futures Markets

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1987Time Series Regression with a Unit Root 1990Asymptotic Properties of Residual Based Tests for Cointegration 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

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2002Evaluating the hedging performance of the constant-correlation GARCH model 2008Dynamic hedging with futures: A copula‐based GARCH model 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?2019BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness 2004A Markov regime switching approach for hedging stock indices

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Year1995

Typearticle

Published1995-02-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations200

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990150106

openalex_workW2053928465

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2007

Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets

2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets

2007A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios