SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal hedging using cointegration
16 references·16 citing·30 second hopsampled
Optimal hedging using cointegration (1999)Optimal hedging using cointegrationThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Co-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Dynamic Econometrics (1995)Dynamic EconometricsLM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS* (1992)LM TESTS FOR A UNIT ROOT IN T…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Sparse Portfolios for High-Dimensional Financial Index Tracking (2017)Sparse Portfolios for High-Di…A Signal Processing Perspective on Financial Engineering (2016)A Signal Processing Perspecti…Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013)Selection of a Portfolio of P…Optimal Convergence Trade Strategies (2013)Optimal Convergence Trade Str…Mean–variance portfolio selection of cointegrated assets (2011)Mean–variance portfolio selec…Functional-coefficient cointegration models (2009)Functional-coefficient cointe…A hybrid optimization approach to index tracking (2008)A hybrid optimization approac…Dynamic Portfolio Selection in Arbitrage (2006)Dynamic Portfolio Selection i…Indexing, cointegration and equity market regimes (2005)Indexing, cointegration and e…Indexing and Statistical Arbitrage (2005)Indexing and Statistical Arbi…Factor based index tracking (2005)Factor based index trackingEmerging markets of South-East and Central Asia: Do they still offer a diversification benefit? (2005)Emerging markets of South-Eas…Cointegration portfolios of European equities for index tracking and market neutral strategies (2005)Cointegration portfolios of E…A methodology for index tracking based on time-series clustering (2004)A methodology for index track…The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies (2002)The Cointegration Alpha: Enha…Cointegration and asset allocation: a new active hedge fund strategy (2002)Cointegration and asset alloc…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1995Dynamic Econometrics1,199 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • Cited by

    • 2005Indexing and Statistical Arbitrage109 cited
    • 2009Functional-coefficient cointegration models106 cited
    • 2008A hybrid optimization approach to index tracking101 cited
    • 2005Factor based index tracking95 cited
    • 2011Mean–variance portfolio selection of cointegrated assets92 cited
    • 2017Sparse Portfolios for High-Dimensional Financial Index Tracking89 cited
    • 2006Dynamic Portfolio Selection in Arbitrage85 cited
    • 2005Cointegration portfolios of European equities for index tracking and market neutral strategies83 cited
    • 2013Optimal Convergence Trade Strategies78 cited
    • 2005Indexing, cointegration and equity market regimes75 cited
    • 2005Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit?74 cited
    • 2002The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies72 cited
    • 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy69 cited
    • 2004A methodology for index tracking based on time-series clustering67 cited
    • 2002Cointegration and asset allocation: a new active hedge fund strategy60 cited
    • 2016A Signal Processing Perspective on Financial Engineering59 cited