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Multivariate models with long memory dependence in conditional correlation and volatility

Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180

Persistent link: https://www.econbiz.de/10012109291

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

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

Will tighter futures price limits decrease hedge effectiveness?

Dark, Jonathan - In: Journal of banking & finance 36 (2012) 10, pp. 2717-2728

Persistent link: https://www.econbiz.de/10009673263

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

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?

Maharaj, Elizabeth A.; Moosa, Imad; Dark, Jonathan; … - In: International Journal of Business and Economics 7 (2008) 3, pp. 213-230

This paper utilises wavelet analysis, which is becoming popular in economics and finance, to estimate the hedge ratios for spot positions on the West Texas Intermediate crude oil, soybeans and the S&P500 index. This technique is combined with a two-stage regime switching threshold model to...

Persistent link: https://www.econbiz.de/10010598963