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Hedging effectiveness of stock index futures
14 references·2 citing·36 second hop
Hedging effectiveness of stock index futures (2004)Hedging effectiveness of stock index futu…The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK (2001)The hedging effectiveness of …The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models (2001)The Cross‐Currency Hedging Pe…Hedge effectiveness: Basis risk and minimum-variance hedging (2000)Hedge effectiveness: Basis ri…Fractional cointegration and futures hedging (1999)Fractional cointegration and …Hedging time-varying downside risk (1998)Hedging time-varying downside…STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY (1996)STOCK INDEX FUTURES HEDGING: …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Estimating time‐varying optimal hedge ratios on futures markets (1991)Estimating time‐varying optim…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…Hedging with automatic liquidation and leverage selection on bitcoin futures (2022)Hedging with automatic liquid…Hedging effectiveness of REIT futures (2012)Hedging effectiveness of REIT…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)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Macroeconomics and Reality (1980)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets (2014)A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets (2015)Economic significance of commodity return forecasts from the fractionally cointegrated VAR model (2017)Cross Hedging (1981)The relation between forward prices and futures prices (1981)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Bitcoin Futures—What use are they? (2018)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)Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets (2005)Effectiveness of Minimum-Variance Hedging (2007)Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX (2011)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
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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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
  • 1998Hedging time-varying downside risk103 cited
  • 1999Fractional cointegration and futures hedging81 cited
  • 2000Hedge effectiveness: Basis risk and minimum-variance hedging80 cited
  • 2001The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models51 cited
  • 1996STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY49 cited
  • 2001The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK41 cited

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Cited by

  • 2022Hedging with automatic liquidation and leverage selection on bitcoin futures28 cited
  • 2012Hedging effectiveness of REIT futures26 cited