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Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald; Li, Yang - In: Journal of banking & finance 32 (2008) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
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A Markov regime switching approach for hedging energy commodities
Alizadeh-Masoodian, Amir H.; Nomikos, Nikos K.; … - In: Journal of banking & finance 32 (2008) 9, pp. 1970-1983
Persistent link: https://www.econbiz.de/10003775048
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Jumping hedges : an examination of movements in copper spot and futures markets
Chan, Wing Hong; Young, Denise - In: The journal of futures markets 26 (2006) 2, pp. 169-188
Persistent link: https://www.econbiz.de/10003303876
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Long memory models for daily and high frequency commodity futures returns
Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - In: The journal of futures markets 27 (2007) 7, pp. 643-668
Persistent link: https://www.econbiz.de/10003493148
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Modeling discontinuous periodic conditional volatility : evidence from the commodity futures market
Taylor, Nicholas - In: The journal of futures markets 24 (2004) 9, pp. 805-834
Persistent link: https://www.econbiz.de/10002145942
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An empirical examination of the relation between futures spreads volatility, volume, and open interest
Girma, Paul Berhanu; Mougoué, Mbodja - In: The journal of futures markets 22 (2002) 11, pp. 1083-11102
Persistent link: https://www.econbiz.de/10001713578
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The performance of event study approaches using daily commodity futures returns
McKenzie, Andrew M.; Thomsen, Michael R.; Dixon, Bruce L. - In: The journal of futures markets 24 (2004) 6, pp. 533-555
Persistent link: https://www.econbiz.de/10002059371
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A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai - In: The journal of futures markets 42 (2022) 3, pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
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Exploring the dynamics of the equity-commodity nexus : a study of base metal futures
Saishree, Ipsita; Padhi, Puja - In: The journal of futures markets 42 (2022) 8, pp. 1573-1596
Persistent link: https://www.econbiz.de/10013288006
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Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887
Persistent link: https://www.econbiz.de/10013187611