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Minimum variance hedge ratios for stock index futures: Duration and expiration effects
12 references·7 citing·35 second hop
Minimum variance hedge ratios for stock index futures: Duration and expiration effects (1992)Minimum variance hedge ratios for stock i…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Advances in Futures and Options Research (1987)Advances in Futures and Optio…Use of three stock index futures in hedging decisions (1985)Use of three stock index futu…Hedging with stock index futures: Theory and application in a new market (1985)Hedging with stock index futu…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES (1982)THE HEDGING EFFECTIVENESS OF …A note on the hedging effectiveness of foreign currency futures (1981)A note on the hedging effecti…The Hedging Performance of the New Futures Markets: Comment (1980)The Hedging Performance of th…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Shipping risk management practice revisited: A new portfolio approach (2017)Shipping risk management prac…Projects and Their Management: A Literature Review (2009)Projects and Their Management…Evaluating Multivariate GARCH Models in the Nordic Electricity Markets (2006)Evaluating Multivariate GARCH…The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK (2001)The hedging effectiveness of …Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract (2000)Futures hedging when the stru…STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY (1996)STOCK INDEX FUTURES HEDGING: …Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract (1995)Ex ante hedge ratios and the …The pricing of commodity contracts (1976)Exchange-rate determination : a survey of popular views and recent models (1978)Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Weather Derivatives and Weather Risk Management (2005)Cross Hedging (1981)The hedging effectiveness of options and futures: A mean‐gini approach (1990)The basis risk of catastrophic-loss index securities (2003)Hedging index exchange traded funds (2007)The relation between forward prices and futures prices (1981)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Bitcoin Futures—What use are they? (2018)Futures Trading and the Storage of Cotton and Wheat (1958)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Some Recent Developments in Futures Hedging (2002)Modelling and measuring price discovery in commodity markets (2010)Review of Economic Studies (2010)American Economic Review (2019)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Stability and the hedging performance of foreign currency futures (1983)The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)Hedging efficiency: A futures exchange management approach (1997)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)On the Comovement of Commodity Prices (2006)Valuing governmental support in infrastructure projects as real options using Monte Carlo simulation (2006)Flexibility versus commitment: MNEs’ ownership strategy in China (2010)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
this work references cited by second hop

References

  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1987Advances in Futures and Options Research175 cited
  • 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
  • 1985Hedging with stock index futures: Theory and application in a new market98 cited
  • 1980The Hedging Performance of the New Futures Markets: Comment93 cited
  • 1981A note on the hedging effectiveness of foreign currency futures75 cited
  • 1985Use of three stock index futures in hedging decisions74 cited

Cited by

  • 2009Projects and Their Management: A Literature Review63 cited
  • 2000Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract55 cited
  • 1996STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY

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49 cited
  • 2001The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK41 cited
  • 2017Shipping risk management practice revisited: A new portfolio approach32 cited
  • 1995Ex ante hedge ratios and the hedging effectiveness of the FTSE-100 stock index futures contract32 cited
  • 2006Evaluating Multivariate GARCH Models in the Nordic Electricity Markets22 cited