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Estimation of constant and time-varying hedge rations for Indian stock index futures market : evidence form the national stock exchange

Srinivasan, P. - In: The IUP journal of applied finance : IJAF 17 (2011) 2, pp. 25-45

Persistent link: https://www.econbiz.de/10009009649

Hedge ratio stability and hedging effectiveness of time-varying hedge ratios in volatile index futures markets : evidence from the Asian financial crisis

Wang, Janchung; Hsu, Hsinan - In: Asia-Pacific journal of financial studies 39 (2010) 5, pp. 659-686

Persistent link: https://www.econbiz.de/10009231510

Estimation of Constant and Time-Varying Hedge Ratios for Indian Stock Index Futures Market : Evidence from the National Stock Exchange

Srinivasan, P. - 2012

This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models …

Persistent link: https://www.econbiz.de/10014174201

A comparative analysis of hedging determination for three alternative international equity index futures

Lin, Fu-Lai - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014305177

Price discovery in the Indian stock index futures market

Ranajee; Pathak, Rajesh - In: The empirical economics letters : a monthly … 17 (2018) 11, pp. 1339-1349

Persistent link: https://www.econbiz.de/10012006904

Three essays on unit roots and nonlinear co-integrated processes

Gaul, Jürgen - 2008

Persistent link: https://www.econbiz.de/10003773152

A partially linear approach to modeling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - In: The journal of futures markets 35 (2015) 4, pp. 371-384

Persistent link: https://www.econbiz.de/10011348414

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

Meníca, Javier; Sentana, Enrique - 2015

Persistent link: https://www.econbiz.de/10010509490

An empirical examination of the lead-lag relationship between spot and futures markets : evidence from Thailand

Judge, Amrit; Reancharoen, Tipprapa - In: Pacific-Basin finance journal 29 (2014), pp. 335-358

Persistent link: https://www.econbiz.de/10010495702

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