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A Risk-Return Measure of Hedging Effectiveness
4 references·16 citing·43 second hop
A Risk-Return Measure of Hedging Effectiveness (1984)A Risk-Return Measure of Hedging Effectiv…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 pricing of commodity contracts (1976)The pricing of commodity cont…SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Riskiness-minimizing spot-futures hedge ratio (2013)Riskiness-minimizing spot-fut…Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract (2008)Hedge ratio estimation and he…Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement (2007)Multi‐period hedge ratios for…Effectiveness of Minimum-Variance Hedging (2007)Effectiveness of Minimum-Vari…Hedge ratios in Greek stock index futures market (2004)Hedge ratios in Greek stock i…Futures hedge ratios: a review (2003)Futures hedge ratios: a reviewThe hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK (2001)The hedging effectiveness of …On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio (2001)On a Mean—Generalized Semivar…Hedging efficiency: A futures exchange management approach (1997)Hedging efficiency: A futures…An examination of dynamic hedging (1996)An examination of dynamic hed…A new measure to compare the hedging effectiveness of foreign currency futures versus options (1994)A new measure to compare the …The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)The impact of the lengths of …Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation (1991)Multiperiod hedging using fut…The hedging effectiveness of options and futures: A mean‐gini approach (1990)The hedging effectiveness of …A Risk-Return Measure of Hedging Effectiveness: A Reply (1987)A Risk-Return Measure of Hedg…Hedging effectiveness of currency options and currency futures (1986)Hedging effectiveness of curr…The Theory of Hedging and Speculation in Commodity Futures (1960)Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges (1992)Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets (2005)An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis (2006)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)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)How to Use Security Analysis to Improve Portfolio Selection (1973)Delegated portfolio management (1985)A Brief History of Downside Risk Measures (1999)Multi-objective stochastic programming for portfolio selection (2005)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Option pricing: A simplified approach (1979)Commodity futures hedging, risk aversion and the hedging horizon (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On an Extension of the Gini Inequality Index (1983)An empirical evaluation of the extended mean‐gini coefficient for futures hedging (1992)A Survey of Emerging Derivatives Markets (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market (2000)Projects and Their Management: A Literature Review (2009)Continuous Auctions and Insider Trading (1985)The Effect of a Market Orientation on Business Profitability (1990)Introducing new futures contracts: reinforcement versus cannibalism (2001)Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets (2008)Bid‐Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets (2010)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)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)
this work references cited by second hop

References

  • 1976The pricing of commodity contracts2,859 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited

Cited by

  • 2003Futures hedge ratios: a review200 cited
  • 1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures87 cited
  • 1994A new measure to compare the hedging effectiveness of foreign currency futures versus options85 cited
  • 1997Hedging efficiency: A futures exchange management approach85 cited
  • 1996An examination of dynamic hedging78 cited
  • 1990The hedging effectiveness of options and futures: A mean‐gini approach67 cited
  • 2007Effectiveness of Minimum-Variance Hedging66 cited
  • 2001On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio58 cited
  • 2004Hedge ratios in Greek stock index futures market56 cited
  • 2007Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement52 cited
  • 1986Hedging effectiveness of currency options and currency futures

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50 cited
  • 2001The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK41 cited
  • 2013Riskiness-minimizing spot-futures hedge ratio40 cited
  • 1987A Risk-Return Measure of Hedging Effectiveness: A Reply38 cited
  • 1991Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation37 cited
  • 2008Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract35 cited