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Hedging index exchange traded funds
16 references·16 citing·46 second hopsampled
Hedging index exchange traded funds (2007)Hedging index exchange traded fundsPortfolio selection with higher moments (2010)Portfolio selection with high…Premiums-Discounts and Exchange Traded Funds (2006)Premiums-Discounts and Exchan…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…The Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …Exchange-Traded Funds: A New Investment Option for Taxable Investors (2002)Exchange-Traded Funds: A New …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Do after-tax returns affect mutual fund inflows? (2002)Do after-tax returns affect m…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach (1998)Risk management, capital budg…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note (1995)Bivariate GARCH estimation of…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda (2024)Exchange-traded funds and the…Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management (2023)Higher-order moments and co-m…The role of investor sentiment in the long-term correlation between U.S. stock and bond markets (2018)The role of investor sentimen…The efficacy of financial futures as a hedging tool in electricity markets (2018)The efficacy of financial fut…Optimization Methods for Financial Index Tracking: From Theory to Practice (2018)Optimization Methods for Fina…Long-Run Wavelet-Based Correlation for Financial Time Series (2018)Long-Run Wavelet-Based Correl…Do liquidity proxies measure liquidity accurately in ETFs? (2018)Do liquidity proxies measure …Investor sentiment and country exchange traded funds: Does economic freedom matter? 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(1988)Conditional Skewness in Asset Pricing Tests (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)A review of copula models for economic time series (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Essays in the Theory of Risk-Bearing. (1972)Optimal Portfolio Allocation under Higher Moments (2006)Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns (2007)Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)The Pricing of Options and Corporate Liabilities (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Are There Economies of Scale in Underwriting Fees? Evidence of Rising External Financing Costs (2000)Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market (2006)The cost of capital, corporation finance and the theory of investment (2008)A theory of systemic risk and design of prudential bank regulation (2009)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)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1998Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach858 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2010Portfolio selection with higher moments535 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 2002Do after-tax returns affect mutual fund inflows?312 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited
  • 2002Exchange-Traded Funds: A New Investment Option for Taxable Investors245 cited
  • 2006Premiums-Discounts and Exchange Traded Funds

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210 cited
  • 1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note200 cited
  • Cited by

    • 2014Hedging crude oil using refined product: A regime switching asymmetric DCC approach65 cited
    • 2010Regime switching correlation hedging61 cited
    • 2018The role of investor sentiment in the long-term correlation between U.S. stock and bond markets56 cited
    • 2023Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management55 cited
    • 2018Optimization Methods for Financial Index Tracking: From Theory to Practice42 cited
    • 2015The golden target: analyzing the tracking performance of leveraged gold ETFs41 cited
    • 2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
    • 2011The behavior of green exchange‐traded funds32 cited
    • 2024Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda30 cited
    • 2018Do liquidity proxies measure liquidity accurately in ETFs?29 cited
    • 2013Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme28 cited
    • 2014Dodd-Franking the Hedge Funds27 cited
    • 2012On the dynamics of tracking indices by exchange traded funds in the presence of high volatility27 cited
    • 2011Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures25 cited
    • 2017Investor sentiment and country exchange traded funds: Does economic freedom matter?24 cited
    • 2018The efficacy of financial futures as a hedging tool in electricity markets15 cited