Hedging effectiveness of stock index futures
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Publication:704076
DOI10.1016/J.EJOR.2004.01.007zbMATH Open1066.91044OpenAlexW2057657136MaRDI QIDQ704076FDOQ704076
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
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Cites Work
- Estimating the dimension of a model
- Title not available (Why is that?)
- Title not available (Why is that?)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Cited In (9)
- VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
- 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?
- Hedging with S&P500 and E-mini S&P500 stock index futures
- 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
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