Hedging effectiveness of stock index futures

DOI10.1016/J.EJOR.2004.01.007MaRDI QIDQ704076zbMATHOpenAlexFDO

Authors Jason Laws, John Thompson

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.01.007

zbMATH Keywords

HedgingMinimum variance hedge ratioStock index futures

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the dimension of a model
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Cited in

(12)

• Index Fund Optimization Using Genetic Algorithm and Scatter Diagram Based on Coefficients of Determination
• The study of the hedging of ETFs using stock index futures
• Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
• The global minimum variance hedge
• The model reset and the efficiency of futures hedging
• Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector?
• Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts
• VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
• Hedging with automatic liquidation and leverage selection on bitcoin futures
• Hedging with S&P500 and E-mini S&P500 stock index futures
• Optimal hedge ratio estimation and effectiveness using ARCD
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets

Describes a project that uses

Uses Software

• RiskMetrics

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