The authors are grateful for financial support from the Ministerio de Educación y Ciencia project ECO2011-27227, Programa de Fomento de Proyectos I+D Universitat Jaume I P1 1B2012-07 and Fundació Caixa Castelló Bancaixa project P1 1B2009-54. They also appreciate the insightful comments from one anonymous referee throughout the refereeing process.
Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime-Switching Approach
Article first published online: 14 FEB 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 4, pages 374–398, April 2014
How to Cite
Salvador, E. and Aragó, V. (2014), Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime-Switching Approach. J. Fut. Mark., 34: 374–398. doi: 10.1002/fut.21598
- Issue published online: 4 MAR 2014
- Article first published online: 14 FEB 2013
- Manuscript Accepted: 31 DEC 2012
- Manuscript Received: 3 JUN 2011
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