Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference38 articles.
1. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991
2. Hedge period length and ex-ante futures hedging effectiveness: the case of foreign-exchange risk cross hedges;Benet;Journal of Futures Markets,1992
3. Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns;Bera;Journal of Empirical Finance,2002
4. Estimation of time-varying hedging ratios for corns and soybeans: BGARCH and random coefficient approaches;Bera;Sankhya,1997
5. A generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
Cited by 18 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Do the advantages of offshore exchanges enhance hedging effectiveness? - evidence from Japanese and Indian dual-listed index futures;Applied Economics;2024-03-23
2. A deep learning‐based financial hedging approach for the effective management of commodity risks;Journal of Futures Markets;2024-03-05
3. Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity;Journal of Forecasting;2023-07-06
4. Risk Management of Fuel Hedging Strategy Based on CVaR and Markov Switching GARCH in Airline Company;Sustainability;2022-11-17
5. The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets;Research in International Business and Finance;2022-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3