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Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models

Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280

Persistent link: https://www.econbiz.de/10012486492

Sudden Changes in Variance and Time Varying Hedge Ratios

Salvador, Enrique - 2014

This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to estimate the optimal hedge ratios for the Spanish stock market including...

Persistent link: https://www.econbiz.de/10013068367

The risk-return trade-off in emerging markets

Salvador, Enrique - In: Emerging markets finance & trade : a journal of the … 48 (2012) 6, pp. 106-128

Persistent link: https://www.econbiz.de/10009721133

Heteroskedasticity in the returns of the main world stock exchange indices : volume versus GARCH effects

Aragó, Vicent; Nieto Soria, Luisa - In: Journal of international financial markets, … 15 (2005) 3, pp. 271-284

Persistent link: https://www.econbiz.de/10002922227

Sudden changes in variance and time varying hedge ratios

Aragó Manzana, Vicent; Salvador, Enrique - In: European journal of operational research : EJOR 215 (2011) 2, pp. 393-403

Persistent link: https://www.econbiz.de/10009302770

Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?

Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77

Persistent link: https://www.econbiz.de/10011284508

Calendar anomalies in cash and stock index futures : international evidence

Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223

Persistent link: https://www.econbiz.de/10010417707

The non-linear trade-off between return and risk : a regime-switching multi-factor framework

Cotter, John; Salvador, Enrique - 2014

Persistent link: https://www.econbiz.de/10010465672

Volatility, trading volume and open interest in futures markets

Floros, Christos; Salvador, Enrique - In: International journal of managerial finance : IJMF 12 (2016) 4, pp. 629-653

Persistent link: https://www.econbiz.de/10011627130

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633