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Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi; Lin, Yu-Cheng - In: Bulletin of applied economics 8 (2022) 1, pp. 121-148
Persistent link: https://www.econbiz.de/10013271045
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Hedging with future : multivariante dynamic conditional correlation GARCH
Kolokolov, Aleksey - In: Market risk and financial markets modeling, (pp. 63-72). 2012
Persistent link: https://www.econbiz.de/10009514454
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Measuring conditional hedging effectiveness : a GARCH approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 17 (2018) 9, pp. 1159-1171
Persistent link: https://www.econbiz.de/10012006781
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Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction
Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 327-336
Persistent link: https://www.econbiz.de/10011286211
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models
Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100
Persistent link: https://www.econbiz.de/10012051118
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On the impacts of oil price fluctuations on European equity markets : volatility spillover and hedging effectiveness
Arouri, Mohamed; Jouini, Jamel; Nguyen, Duc Khuong - In: Energy economics 34 (2012) 2, pp. 611-617
Persistent link: https://www.econbiz.de/10009618672
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …
Persistent link: https://www.econbiz.de/10011883272
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Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265
Persistent link: https://www.econbiz.de/10012216958
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Dynamic hedging performance and downside risk : evidence from Nikkei index futures
Ubukata, Masato - In: International review of economics & finance : IREF 58 (2018), pp. 270-281
Persistent link: https://www.econbiz.de/10012034262