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

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References

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1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
1991

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Estimating time‐varying optimal hedge ratios on futures markets

218 cited

1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited

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2004A Markov regime switching approach for hedging stock indices115 cited
2007Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets107 cited
2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets95 cited
2007A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios94 cited
2005Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets94 cited
2000Hedging Multiple Price Uncertainty in International Grain Trade91 cited
2007Optimal hedging with a regime‐switching time‐varying correlation GARCH model84 cited
2007Hedging index exchange traded funds82 cited
2000Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market75 cited
2009Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches74 cited
2006Reevaluating hedging performance73 cited
2011Optimal hedging with higher moments64 cited