<section xml:id="fut21598-sec-0001"> This study estimates linear and nonlinear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing nonlinearities through a regime‐switching model, we can obtain more efficient hedge ratios and superior hedging performance in...</section>

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions...

The aim of this study is to analyze the influence that the structural changes on volatility have on the transmission of information. We realized empirical evidence on European stock exchange markets using the principal European stock indexes: UK, Germany, France, Italy and Spain, for European...

This paper presents a review of the main theories on hedging with futures contracts, and the various estimation methods used to estimate the optimum hedge ratio. The most widely used approach to hedging in the extensive literature in this field of research is unquestionably that based on the...

We introduce a novel methodology to hedge changes in the market values of credit exposures using equity put options. Our new hedge ratios are derived from the application of contingent-claims valuation and are fundamentally different from existing hedging methods aimed at neutralizing the loss...

This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be...

This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be...