Search Results - subject:"Time-varying hedge ratio"

Optimal hedge ratio in Turkish stock index futures market : a deco-fiaparch approach

Çelik, Ismail; Sak, Ahmet Furkan - In: Financial studies 25 (2021) 4, pp. 17-33

This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019, total of 3,508 daily observations. The...

Persistent link: https://www.econbiz.de/10012793517

An econometric investigation of hedging performance of stock index futures in Korea : dynamic versus static hedging

Hasan, Mohammad S.; Choudhry, Taufiq; Zhang, Yuanyuan - In: International journal of banking, accounting and … 11 (2020) 2, pp. 227-253

Persistent link: https://www.econbiz.de/10012204571

Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Energy economics 62 (2017), pp. 19-32

Persistent link: https://www.econbiz.de/10011748013

Hedge ratio stability and hedging effectiveness of time-varying hedge ratios in volatile index futures markets : evidence from the Asian financial crisis

Wang, Janchung; Hsu, Hsinan - In: Asia-Pacific journal of financial studies 39 (2010) 5, pp. 659-686

Persistent link: https://www.econbiz.de/10009231510