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There are 14121 results for: content related to: Bivariate garch estimation of the optimal commodity futures Hedge

  1. Conditional volatility forecasting in a dynamic hedging model

    Journal of Forecasting

    Volume 24, Issue 3, April 2005, Pages: 155–172, Michael S. Haigh

    Version of Record online : 1 APR 2005, DOI: 10.1002/for.950

  2. Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH Approach

    Journal of Agricultural Economics

    Volume 51, Issue 2, May 2000, Pages: 147–161, P. J. Dawson, A. L. Tiffin and B. White

    Version of Record online : 5 NOV 2008, DOI: 10.1111/j.1477-9552.2000.tb01220.x

  3. You have free access to this content
    Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market

    Asia-Pacific Journal of Financial Studies

    Volume 39, Issue 3, June 2010, Pages: 396–415, Hsiu-Chuan Lee and Cheng-Yi Chien

    Version of Record online : 25 MAY 2010, DOI: 10.1111/j.2041-6156.2010.01015.x

  4. Estimating time-varying optimal hedge ratios on futures markets

    Journal of Futures Markets

    Volume 11, Issue 1, February 1991, Pages: 39–53, Robert J. Myers

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990110105

  5. Dynamic hedging with futures: A copula-based GARCH model

    Journal of Futures Markets

    Volume 28, Issue 11, November 2008, Pages: 1095–1116, Chih-Chiang Hsu, Chih-Ping Tseng and Yaw-Huei Wang

    Version of Record online : 9 SEP 2008, DOI: 10.1002/fut.20345

  6. Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

    Accounting & Finance

    Volume 45, Issue 2, July 2005, Pages: 301–321, Wenling Yang and David E. Allen

    Version of Record online : 31 MAY 2005, DOI: 10.1111/j.1467-629x.2004.00119.x

  7. Multiperiod hedging in the presence of conditional heteroskedasticity

    Journal of Futures Markets

    Volume 14, Issue 8, December 1994, Pages: 927–955, Donald Lien and Xiangdong Luo

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990140806

  8. Fractional cointegration and futures hedging

    Journal of Futures Markets

    Volume 19, Issue 4, June 1999, Pages: 457–474, Donald Lien and Yiu Kuen Tse

    Version of Record online : 19 MAY 1999, DOI: 10.1002/(SICI)1096-9934(199906)19:4<457::AID-FUT4>3.0.CO;2-U

  9. Hedging Industrial Metals With Stochastic Volatility Models

    Journal of Futures Markets

    Volume 34, Issue 8, August 2014, Pages: 704–730, Qingfu Liu, Michael T. Chng and Dongxia Xu

    Version of Record online : 3 APR 2014, DOI: 10.1002/fut.21671

  10. A Markov regime switching approach for hedging stock indices

    Journal of Futures Markets

    Volume 24, Issue 7, July 2004, Pages: 649–674, Amir Alizadeh and Nikos Nomikos

    Version of Record online : 5 MAY 2004, DOI: 10.1002/fut.10130

  11. Some Recent Developments in Futures Hedging

    Journal of Economic Surveys

    Volume 16, Issue 3, July 2002, Pages: 357–396, Donald Lien and Y. K. Tse

    Version of Record online : 16 DEC 2002, DOI: 10.1111/1467-6419.00172

  12. Nonconstant optimal hedge ratio estimation and nested hypotheses tests

    Journal of Futures Markets

    Volume 14, Issue 5, August 1994, Pages: 619–635, Kevin P. McNew and Paul L. Fackler

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990140508

  13. Jumping hedges: An examination of movements in copper spot and futures markets

    Journal of Futures Markets

    Volume 26, Issue 2, February 2006, Pages: 169–188, Wing H. Chan and Denise Young

    Version of Record online : 14 DEC 2005, DOI: 10.1002/fut.20190

  14. A note on the performance of regime switching hedge strategy

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 389–396, Donald Lien

    Version of Record online : 20 APR 2011, DOI: 10.1002/fut.20520

  15. GARCH and MARKOV Hedging at the Winnipeg Commodity Exchange

    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie

    Volume 46, Issue 2, July 1998, Pages: 117–126, Peter S. Sephton

    Version of Record online : 15 JUL 2005, DOI: 10.1111/j.1744-7976.1998.tb00358.x

  16. A simplified approach to modeling the co-movement of asset returns

    Journal of Futures Markets

    Volume 27, Issue 6, June 2007, Pages: 575–598, Richard D. F. Harris, Evarist Stoja and Jon Tucker

    Version of Record online : 4 APR 2007, DOI: 10.1002/fut.20262

  17. Hedging with Two Futures Contracts: Simplicity Pays

    European Financial Management

    Volume 17, Issue 5, November 2011, Pages: 806–834, Katelijne A.E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu

    Version of Record online : 23 SEP 2010, DOI: 10.1111/j.1468-036X.2010.00570.x

  18. Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches

    Journal of Futures Markets

    Volume 30, Issue 1, January 2010, Pages: 71–99, Sung Yong Park and Sang Young Jei

    Version of Record online : 21 JUL 2009, DOI: 10.1002/fut.20401

  19. Conditional heteroskedasticity, asymmetry, and option pricing

    Journal of Futures Markets

    Volume 15, Issue 8, December 1995, Pages: 901–928, Taehoon Kang and B. Wade Brorsen

    Version of Record online : 28 AUG 2006, DOI: 10.1002/fut.3990150804

  20. A first look at the empirical relation between spot and futures electricity prices in the United States

    Journal of Futures Markets

    Volume 23, Issue 10, October 2003, Pages: 931–955, Hany A. Shawky, Achla Marathe and Christopher L. Barrett

    Version of Record online : 20 AUG 2003, DOI: 10.1002/fut.10093