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Basis convergence and long memory in volatility when dynamic hedging with futures

Dark, Jonathan - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 4, pp. 1021-1040

Persistent link: https://www.econbiz.de/10003587040

Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005559

Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005584

Basis convergence and long memory in volatility when dynamic hedging with SPI futures

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005599

Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model

Dark, Jonathan - 2004

Persistent link: https://www.econbiz.de/10002005618

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

Dark, Jonathan - In: Journal of banking & finance 61 (2015) 2, pp. 269-285

Persistent link: https://www.econbiz.de/10011586925

Modeling the Joint Dynamics of Spot and Futures Markets with a Regime Switching Long Memory Volatility Process

Dark, Jonathan - 2011

The methods used to model the dynamics of spot and futures markets ignore the effects of changes in the cost of carry (COC) on the dynamics of the basis and its rate of convergence. This is of particular importance given the historically low short term interest rates currently experienced in...

Persistent link: https://www.econbiz.de/10013121286