Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock...

The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers’ expenditure provides further support for this hypothesis,...