Futures minimum variance hedge ratio determination: An ex-ante analysis-Reference-Cited by-同舟云学术

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Futures minimum variance hedge ratio determination: An ex-ante analysis

Published:2020-11 Issue: Volume:54 Page:100924
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Chen Ren-Raw,Leistikow Dean^ORCID,Wang Andrew

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Effectiveness of minimum-variance hedging;Alexander;Journal of Portfolio Management,2007

2. The supply of storage;Brennan;American Economic Review,1958

3. Stochastic convenience yield implied from commodity futures and interest rates;Casassus;Journal of Finance,2005

4. A two-factor, preference-free model for interest rate sensitive claims;Chen;Journal of Futures Markets,1995

5. Futures hedge ratios: A review;Chen;Encyclopedia of Finance,2012

Cited by 5 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. Hedging Salmon Price Risk Based on Fuzzy Copula-GMM Model;International Journal of Information Technology & Decision Making;2023-07-17

2. Futures hedging in crude oil markets: A trade-off between risk and return;Resources Policy;2023-01

3. Evaluating the performance of futures hedging using factors-driven realized volatility;International Review of Financial Analysis;2022-11

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

5. On the stationarity of futures hedge ratios;Operational Research;2020-09-30

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