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...

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...

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...