On the stationarity of futures hedge ratios
Year of publication: |
2022
|
---|---|
Authors: | Degiannakis, Stavros ; Floros, Christos ; Salvador, Enrique ; Vougas, Dimitrios V. |
Published in: |
Operational research : an international journal. - Berlin : Springer, ISSN 1866-1505, ZDB-ID 2425760-6. - Vol. 22.2022, 3, p. 2281-2303
|
Subject: | Future | Hedge ratios | Intra-day data | Multivariate volatility modelling | Regime-switching | Stationarity | Hedging | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Derivat | Derivative | Theorie | Theory | Währungsderivat | Currency derivative | Stochastischer Prozess | Stochastic process | Großbritannien | United Kingdom |
-
Currency exchange rate risk hedging strategies using MXN/USD MexDer futures contracts
Santillán Salgado, Roberto Joaquín, (2016)
-
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S., (1999)
-
Dynamic conditional copula correlation and optimal hedge ratios with currency futures
Kotkatvuori-Örnberg, Juha, (2016)
- More ...
-
The efficiency of Greek stock index futures market
Floros, Christos, (2008)
-
Hedge ratios in Greek stock index futures market
Floros, Christos, (2004)
-
The efficiency of Greek stock index futures market
Floros, Christos, (2008)
- More ...