Ghosh, Asim; Clayton, Ronnie - In: Journal of Financial Research 19 (1996) 4, pp. 477-91
In this paper we extend the traditional price change hedge ratio estimation method by applying the theory of cointegration to hedging with stock index futures contracts for France (CAC 40), the United Kingdom (FTSE 100), Germany (DAX), and Japan (NIKKEI). Previous studies ignore the last...
