There is no dearth of research in the area of Optimal Hedge Ratio estimation. The general consent goes towards use of Multivariate Generalized Autoregressive Conditionally Heteroscedastic (MGARCH) model because of superior outcomes having low portfolio volatilities over other models (like: OLS...

The aim of this paper is to examine the existence of short–run lead–lag effects between the spot and the futures market in the German stock exchange and particularly the DAX index, over the period 1/2000 - 12/2003, using intradaily data. As long as such relationships are established we...

This study analyzes the dynamic relationship between stock prices and stock fundamentals. We focus on the Euro Stoxx 50 index, a major eurozone stock index, and its dividend futures. From the observed prices of the dividend futures and Euribor (swap) rates, we calculate the transition of term...

While there is a vast amount of research on IPOs, little research has been done from the point of view of index funds and the excess return opportunity from buying IPOs before the index inclusion date. In this paper, we analyse U.S. listed IPOs, between 2010 and 2018, which were added to the...