In turbulent time periods, the conditional covariance matrix of cash and futures prices should vary over time. The conventional regression based approach to estimate the optimal hedge could then be inappropriate. This paper investigates the hedging effectiveness of BTP futures contracts from...

This paper reviews the literature on market microstructure. Particular emphasis is given to the research dealing with the impact that a specific trading mechanism might have on price behaviour and with the comparison of the performance of alternative market structures. Theoretical models and...

Despite the importance ETFs have recently gained, little is known about their liquidity. The conventional view on ETF liquidity is that what really matters is not the size of the ETF or its trading volume but the liquidity of its benchmark index. We argue that while creation/redemption...

I provide an economic interpretation of the long swings of the dollar in the 1980s. I use the “fully modified†estimator method to analyze the long-run behavior of the dollar/sterling exchange rate over the period 1979–1989, detecting a structural shift in February–March...

Monthly data are used to investigate reserves management in eight Asian and Latin American countries. Idiosyncratic explanatory variables enter into co-integration relationships based on a stochastic buffer stock model, where a reserve variability measure is obtained via conditional variance...

The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile...

This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index. The VAR methodology--duly adjusted in order to account for differences in...