Hedging with the Nikkei index futures: The convential model versus the error correction model
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference13 articles.
1. The Market for Japanese Stock Index Futures: Some Preliminary Evidence;Bailey;The Journal of Futures Markets,1989
2. The Behavior of Prices in the Nikkei Spot and Futures Market;Brenner;Journal of Financial Economics,1989
3. Time Aggregation and the Estimation of the Market Model: Empirical Evidence;Cartwright;Journal of Business and Economic Statistics,1987
4. The Hedging Performance of the New Futures Markets;Ederington;Journal of Finance,1979
5. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation;Engle;Econometrica,1982
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