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Calendar anomalies in cash and stock index futures : international evidence

Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223

Persistent link: https://www.econbiz.de/10010417707

Measuring the Hedging Effectiveness of Index Futures Contracts : Do Dynamic Models Outperform Static Models? A Regime-Switching Approach

Salvador, Enrique; Aragó, Vicent - 2014

This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hedge ratios and superior hedging performance in...

Persistent link: https://www.econbiz.de/10014181828

The distribution of index futures realised volatility under seasonality and microstructure noise

Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414

Persistent link: https://www.econbiz.de/10012430196

Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models

Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280

Persistent link: https://www.econbiz.de/10012486492

Hedge ratios in Greek stock index futures market

Floros, Christos; Vougas, Dimitrios V. - In: Applied financial economics 14 (2004) 15, pp. 1125-1136

Persistent link: https://www.econbiz.de/10002391583

Hedge ratios in South African stock index futures

Degiannakis, Stavros; Floros, Christos - In: Journal of emerging market finance 9 (2010) 3, pp. 285-304

Persistent link: https://www.econbiz.de/10009156614

Financial crises, the decoupling-recoupling hypothesis, and the risk premium on the Greek stock index futures market

Floros, Christos; Kizys, Renatas; Pierdzioch, Christian - In: International review of financial analysis 28 (2013), pp. 166-173

Persistent link: https://www.econbiz.de/10009762680

A note on dynamic hedging : empirical evidence from FTSE-100 and S&P 500 futures markets

Alghalith, Moawia; Floros, Christos; Lalloo, Ricardo - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 190-196

Persistent link: https://www.econbiz.de/10010514019

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538

Option pricing using high-frequency futures prices

Degiannakis, Stavros; Floros, Christos; Poufinas, Thomas; … - In: Journal of risk 23 (2021) 4, pp. 81-101

Persistent link: https://www.econbiz.de/10012593448