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~person:"Dark, Jonathan"
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Dark, Jonathan
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Working paper / Department of Econometrics and Business Statistics, Monash University
4
Journal of banking & finance
2
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1
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1
The journal of futures markets
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ECONIS (ZBW)
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1
Futures
hedging
with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
Saved in:
2
Will Tighter Futures Price Limits Decrease Hedge Effectiveness?
Dark, Jonathan
-
2010
used to determine the maximum number of limit days before minimum variance
hedging
outcomes are adversely affected. An … limit days increases from current levels of around 1% to approximately 3% to 4% however, conventional
hedging
approaches …
Persistent link: https://www.econbiz.de/10013138970
Saved in:
3
Currency overlay for global equity portfolios : cross-
hedging
and base currency
Opie, Wei
;
Dark, Jonathan
- In:
The journal of futures markets
35
(
2015
)
2
,
pp. 186-200
Persistent link: https://www.econbiz.de/10011348453
Saved in:
4
Will tighter futures price limits decrease hedge effectiveness?
Dark, Jonathan
- In:
Journal of banking & finance
36
(
2012
)
10
,
pp. 2717-2728
Persistent link: https://www.econbiz.de/10009673263
Saved in:
5
Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005559
Saved in:
6
Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005584
Saved in:
7
Basis convergence and long memory in volatility when dynamic
hedging
with SPI futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005599
Saved in:
8
Long term
hedging
of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005618
Saved in:
9
Basis convergence and long memory in volatility when dynamic
hedging
with futures
Dark, Jonathan
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
4
,
pp. 1021-1040
Persistent link: https://www.econbiz.de/10003587040
Saved in:
10
A Critique of Minimum Variance
Hedging
Dark, Jonathan
- In:
Accounting Research Journal
18
(
2005
)
June
,
pp. 40-49
This paper provides a critique of minimum variance
hedging
using futures. The paper develops the conventional minimum …
Persistent link: https://www.econbiz.de/10008671883
Saved in:
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