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Estimation bias of futures hedging performance: A note
4 references·1 citing·17 second hop
Estimation bias of futures hedging performance: A note (2006)Estimation bias of futures hedging perfor…The use and abuse of the hedging effectiveness measure (2005)The use and abuse of the hedg…A note on the superiority of the OLS hedge ratio (2005)A note on the superiority of …A Risk-Return Measure of Hedging Effectiveness: A Reply (1987)A Risk-Return Measure of Hedg…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Evaluating the Effectiveness of Futures Hedging (2014)Evaluating the Effectiveness …Generalized Optimal Hedge Ratio Estimation (1989)Effectiveness of Minimum-Variance Hedging (2007)The (de)merits of minimum-variance hedging: Application to the crack spread (2012)Do commodities make effective hedges for equity investors? (2017)The effect of the cointegration relationship on futures hedging: A note (1996)A note on the hedging effectiveness of GARCH models (2007)Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme (2013)A Risk-Return Measure of Hedging Effectiveness (1984)The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK (2001)A note on the relationships between some risk‐adjusted performance measures (2002)Hedging Effectiveness in Greek Stock Index Futures Market (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)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)
this work references cited by second hop

References

  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 2005The use and abuse of the hedging effectiveness measure60 cited
  • 2005A note on the superiority of the OLS hedge ratio56 cited
  • 1987A Risk-Return Measure of Hedging Effectiveness: A Reply38 cited

Cited by

  • 2014Evaluating the Effectiveness of Futures Hedging13 cited

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