Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Cross- and delta-hedges: Regression- versus price-based hedge ratios

16 references·1 citing·44 second hop

FromToDepth

this work references cited by second hop

References

1980Measuring security price performance3,330 cited
1979Risk measurement when shares are subject to infrequent trading2,767 cited
1977Estimating betas from nonsynchronous data2,751 cited
1979The Hedging Performance of the New Futures Markets1,566 cited
1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
1990Anomalies: Foreign Exchange902 cited
1990The Dynamics of Stock Index and Stock Index Futures Returns803 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
1983Risk measurement when shares are subject to infrequent trading240 cited
1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
1987Comparison of analytical approaches for estimating hedge ratios for agricultural commodities90 cited
1992Futures and Options: Theory and Applications85 cited

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

1983

Stability and the hedging performance of foreign currency futures

80 cited

Cited by

2009Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry18 cited