SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches
16 references·0 citing·38 second hop
Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches (2015)Estimation and Hedging Effectiveness of T…Testing conditional factor models (2012)Testing conditional factor mo…The Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Coherent Measures of Risk (1999)Coherent Measures of RiskThe effect of the cointegration relationship on futures hedging: A note (1996)The effect of the cointegrati…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…Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Hedging with stock index futu…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Estimating time‐varying optimal hedge ratios on futures markets (1991)Estimating time‐varying optim…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Testing for a Unit Root in Time Series Regression (1988)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)Cross Hedging (1981)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)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)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 value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 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
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited
  • 1991Estimating time‐varying optimal hedge ratios on futures markets218 cited
  • 1993Hedging with stock index futures: Estimation and forecasting with error correction model212 cited
  • 2012Testing conditional factor models204 cited
  • 1995Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note200 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1996
The effect of the cointegration relationship on futures hedging: A note
142 cited

Cited by

No citing works inside the corpus for this window.