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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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Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
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An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Lien, Da-hsiang Donald; Shrestha, Keshab - In: The journal of futures markets 27 (2007) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10010190357
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Estimating the optimal hedge ratio with focus information criterion
Lien, Da-hsiang Donald; Shrestha, Keshab - In: The journal of futures markets 25 (2005) 10, pp. 1011-1024
Persistent link: https://www.econbiz.de/10003185641
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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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Hedging effectiveness comparisons : a note
Lien, Da-hsiang Donald; Shrestha, Keshab - In: International review of economics & finance : IREF 17 (2008) 3, pp. 391-396
Persistent link: https://www.econbiz.de/10003749652
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Pure martingale and joint normality tests for energy futures contracts
Shrestha, Keshab; Ravichandran K. Subramaniam; Rassiah, … - In: Energy economics 63 (2017), pp. 174-184
Persistent link: https://www.econbiz.de/10011757917
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Quantile estimation of optimal hedge ratio
Lien, Da-hsiang Donald; Shrestha, Keshab; Wu, Jing - In: The journal of futures markets 36 (2016) 2, pp. 194-214
Persistent link: https://www.econbiz.de/10011568071