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Fractional cointegration and futures hedging

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References

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1980Macroeconomics and Reality12,826 cited
1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
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1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited
1996The effect of the cointegration relationship on futures hedging: A note142 cited
1995Lead‐lag relationship between spot index and futures price of the nikkei stock average140 cited
1989The behavior of prices in the Nikkei spot and futures market92 cited
1996

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Hedging with the Nikkei index futures: The convential model versus the error correction model

87 cited

Cited by

2014A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets72 cited
2015A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets67 cited
2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model64 cited
2004Hedge ratios in Greek stock index futures market56 cited
2003Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market53 cited
2011The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated44 cited
2004Hedging effectiveness of stock index futures38 cited
2008Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract35 cited
2010Long memory and structural breaks in commodity futures markets34 cited
2006Dynamics of Intra-EMS Interest Rate Linkages32 cited
2002Multiperiod hedging with futures contracts25 cited
2009China’s Stock Market Integration with a Leading Power and a Close Neighbor24 cited
2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures23 cited