Hedging with S&P500 and E-mini S&P500 stock index futures

DOI10.1080/09720510.2005.10701158zbMATH Open1124.91358OpenAlexW2073523046MaRDI QIDQ3374818FDOQ3374818

Authors: Mingchih Lee, Jer-Shiou Chiou, Pei-Shan Wu, Chun-Da Chen 

Publication date: 22 February 2006

Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720510.2005.10701158

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zbMATH Keywords

dynamic hedginghedge modelshedge strategy

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (5)

• Hedging effectiveness of stock index futures
• Enhancing hedging performance with the spanning polynomial projection
• The study of the hedging of ETFs using stock index futures
• The global minimum variance hedge
• Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test

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