Lau, Chi Keung Marco; Bilgin, Mehmet Huseyin - In: Emerging Markets Finance and Trade 49 (2013) S1, pp. 37-48
This paper examines the hedging performance of the Shanghai futures market, with the London futures market acting as the channel for volatility spillover. Taking into consideration structural change, basis effects, and return and volatility spillover effects, the authors find that the estimated...
