Liquidity and hedging effectiveness under futures mispricing: International evidence
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference17 articles.
1. Futures hedge ratios: A review;Chen;The Quarterly Review of Economics and Finance,2003
2. Short-run deviations and optimal hedge ratio: Evidence from stock futures;Choudhry;Journal of Multinational Financial Management,2003
3. The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures;Choudhry;International Review of Economics & Finance,2004
4. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models;Engle;Journal of Business and Economic Statistics,2002
5. Testing for common features;Engle;Journal of Business and Economic Statistics,1993
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