Hedging effectiveness of stock index futures

DOI10.1016/J.EJOR.2004.01.007MaRDI QIDQ704076zbMATH OpenOpenAlexFDO

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)

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

Describes a project that uses

Uses Software

• RiskMetrics

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