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Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures
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Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures (2018)Dynamic hedging using the realized minimu…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTime-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Cross hedging with stock index futures (2021)Cross hedging with stock inde…ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 2004

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
907 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • Cited by

    • 2021Cross hedging with stock index futures18 cited