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ArticleHedging index exchange traded funds

Carol Alexander2007

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Articlegreen2007

Hedging index exchange traded funds

Carol Alexander · Andreza Barbosa

82 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1979The Hedging Performance of the New Futures Markets 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models 1998Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach 1983The Dynamics of Dealer Markets Under Competition 1980On The Direction of Preference for Moments of Higher Order Than The Variance

Cited by

2014Hedging crude oil using refined product: A regime switching asymmetric DCC approach 2010Regime switching correlation hedging 2018The role of investor sentiment in the long-term correlation between U.S. stock and bond markets 2023Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management 2018Optimization Methods for Financial Index Tracking: From Theory to Practice

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2008Exchange Traded Funds: History, Trading, and Researchchapter · 9 shared references 2007Effectiveness of Minimum-Variance Hedgingarticle · 8 shared references 2009The incremental value of a futures hedge using realized volatilityarticle · 8 shared references 2015Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methodsarticle · 8 shared references 2008Handbook of Financial Engineeringbook · 7 shared references 2013Recent developments in exchange‐traded fund literaturearticle · 7 shared references

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Year2007

Typearticle

Published2007-07-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations82

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2007.03.012

openalex_workW2091160140

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