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On a mean-generalized semivariance approach to determining the hedge ratio
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 21 (2001) 6, pp. 581-598
Persistent link: https://www.econbiz.de/10001579727
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Futures hedge ratios : a review
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 433-465
Persistent link: https://www.econbiz.de/10001782501
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An empirical analysis of the relationship between the hedge ratio and hedging horizon : a simultaneous estimation of the short- and long-run hedge ratios
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 24 (2004) 4, pp. 359-386
Persistent link: https://www.econbiz.de/10002005377
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Do the pure martingale and joint normality hypotheses hold for futures contracts? : implications for the optimal hedge ratios
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 48 (2008) 1, pp. 153-174
Persistent link: https://www.econbiz.de/10003683377
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Joint normality test for the returns on the futures and spot
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - 2024
Persistent link: https://www.econbiz.de/10015046717
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Hedge ratios : theory and applications
Chen, Sheng-syan; Lee, Cheng F.; Lin, Fu-Lai; Shrestha, … - 2024
Persistent link: https://www.econbiz.de/10015046797