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Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
16 references·0 citing·43 second hop
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Calculating the optimal hedge ratio: cons…The hedging performance of electricity futures on the Nordic power exchange (2003)The hedging performance of el…Futures hedge ratios: a review (2003)Futures hedge ratios: a reviewEvaluating the hedging performance of the constant-correlation GARCH model (2002)Evaluating the hedging perfor…Trends, Cycles and Autoregressions (1997)Trends, Cycles and Autoregres…Forecasting UK house prices: A time varying coefficient approach (1997)Forecasting UK house prices: …The effect of the cointegration relationship on futures hedging: A note (1996)The effect of the cointegrati…Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Hedging with the Nikkei index…Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note (1995)Bivariate GARCH estimation of…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…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…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Generalized Optimal Hedge Ratio Estimation (1989)Generalized Optimal Hedge Rat…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A selected review of agricultural commodity futures and options markets (2004)Effectiveness of Minimum-Variance Hedging (2007)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)Detrending, stylized facts and the business cycle (1993)A comparative study of autoregressive neural network hybrids (2005)On suboptimality of the Hodrick–Prescott filter at time series endpoints (2005)Industrial electricity demand for Turkey: A structural time series analysis (2010)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)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Some Recent Developments in Futures Hedging (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic hedging with futures: A copula‐based GARCH model (2008)Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)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)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)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1989Generalized Optimal Hedge Ratio Estimation381 cited
  • 2003Futures hedge ratios: a review200 cited
  • 1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note200 cited
  • 1997Trends, Cycles and Autoregressions190 cited
  • 2002Evaluating the hedging performance of the constant-correlation GARCH model178 cited
  • 1996The effect of the cointegration relationship on futures hedging: A note142 cited
  • 2003The hedging performance of electricity futures on the Nordic power exchange111 cited
  • 1993Estimating multiperiod hedge ratios in cointegrated markets96 cited
  • 1997Forecasting UK house prices: A time varying coefficient approach96 cited

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  • 1996Hedging with the Nikkei index futures: The convential model versus the error correction model87 cited
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