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ArticleMinimum variance hedge ratios for stock index futures: Duration and expiration effects

Unknown author1992

Article1992

Minimum variance hedge ratios for stock index futures: Duration and expiration effects

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58 citations·0/0 files stored·Journal of Futures Markets

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk Management in Financial Firms

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2015Proof that Properly Anticipated Prices Fluctuate Randomly 1979The Hedging Performance of the New Futures Markets 1976The Theory of Hedging and Speculation in Commodity Futures 1960The Theory of Hedging and Speculation in Commodity Futures 1976The Simultaneous Determination of Spot and Futures Prices 1984Hedging Performance and Basis Risk in Stock Index Futures 1987Advances in Futures and Options Research 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES

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2009Projects and Their Management: A Literature Review 2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract 1996STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY 2001The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK 2017Shipping risk management practice revisited: A new portfolio approach

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1991Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currenciesarticle · 9 shared references 1996HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODELarticle · 8 shared references 2001The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UKarticle · 8 shared references 1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futuresarticle · 7 shared references 2017Shipping risk management practice revisited: A new portfolio approacharticle · 7 shared references 1998Hedging foreign currency portfoliosarticle · 6 shared references

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Year1992

Typearticle

Published1992-02-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations58

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990120105

openalex_workW2122278486

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1995

Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract

2006Evaluating Multivariate GARCH Models in the Nordic Electricity Markets