The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures-Reference-Cited by-同舟云学术

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The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures

Published:2004-01 Issue:4 Volume:13 Page:371-385
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Choudhry Taufiq

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference24 articles.

1. Cross-hedging;Anderson;Journal of Political Economy,1981

2. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991

3. ARCH models: Properties, estimation and testing;Bera;Journal of Economic Surveys,1993

4. Estimation and inference in nonlinear structural models;Berndt;Annals of Economic and Social Measurement,1974

5. Financial markets analysis;Blake,2000

Cited by 26 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. Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?;Asia-Pacific Financial Markets;2022-10-14

3. Razones de Cobertura con Futuros de los Indices Accionarios de Brasil y México;Investigación Administrativa;2021-06-01

4. Optimal currency hedge and the carry trade;Review of Accounting and Finance;2020-08-24

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