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Hedging and Optimal Hedge Ratios for International Index Futures Markets
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Hedging and Optimal Hedge Ratios for International Index Futures Markets (2009)Hedging and Optimal Hedge Ratios for Inte…Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets (2006)Extreme volatility, speculati…Hedging downside risk with futures contracts (2000)Hedging downside risk with fu…Hedging time-varying downside risk (1998)Hedging time-varying downside…Advances in Futures and Options Research (1994)Advances in Futures and Optio…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Hedging with stock index futu…Estimating multiperiod hedge ratios in cointegrated markets (1993)Estimating multiperiod hedge …Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Generalized Optimal Hedge Ratio Estimation (1989)Generalized Optimal Hedge Rat…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…A Risk-Return Measure of Hedging Effectiveness (1984)A Risk-Return Measure of Hedg…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…The Econometric Analysis of Time Series. (1983)Unit Roots in Time Series Models: Tests and Implications (1986)Estimating time‐varying optimal hedge ratios on futures markets (1991)Some Recent Developments in Futures Hedging (2002)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)A Markov Model of Switching-Regime ARCH (1994)Another Look at Models of the Short-Term Interest Rate (1996)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Trading volume, bid-ask spread, and price volatility in futures markets (2000)Managing Capacity in the High-Tech Industry: A Review of Literature (2005)The forecast quality of CBOE implied volatility indexes (2005)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)The hedging effect of green bonds on carbon market risk (2020)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1989Generalized Optimal Hedge Ratio Estimation381 cited
  • 1994Advances in Futures and Options Research271 cited
  • 1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited
  • 1984A Risk-Return Measure of Hedging Effectiveness177 cited
  • 1998Hedging time-varying downside risk103 cited
  • 2000Hedging downside risk with futures contracts97 cited
  • 1993Estimating multiperiod hedge ratios in cointegrated markets96 cited

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  • 2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets95 cited
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