Narrow search
Showing 1 - 10 of 258,046
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures
Qu, Hui; Wang, Tianyang; Zhang, Yi; Sun, Pengfei - In: Pacific-Basin finance journal 57 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012170622
Cover Image
The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Cover Image
Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662
Persistent link: https://www.econbiz.de/10011550607
Cover Image
Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
Cover Image
Implied correlation indices and volatility forecasting
Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588
Persistent link: https://www.econbiz.de/10011713025
Cover Image
The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange
Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13
This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …
Persistent link: https://www.econbiz.de/10014230946