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A note on the relationship between the variability of the hedge ratio and hedging performance

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References

2009Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches74 cited
2005The use and abuse of the hedging effectiveness measure60 cited
2005A note on the superiority of the OLS hedge ratio56 cited
2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract55 cited
2007A note on the hedging effectiveness of GARCH models44 cited

Cited by

2021Volatility spillover among sector equity returns under structural breaks22 cited
2015Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches20 cited
2011Sudden changes in variance and time varying hedge ratios20 cited
2020Financial econometrics, mathematics, statistics, and financial technology: an overall view18 cited
2014Evaluating the Effectiveness of Futures Hedging13 cited

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