Hedging with Stock Index Features: Estimating and Forecasting with Error Correction Model

[1]  C. Granger,et al.  Spurious regressions in econometrics , 1974 .

[2]  Leland L. Johnson,et al.  The Theory of Hedging and Speculation in Commodity Futures , 1960 .

[3]  A. Kalay The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A Reply , 1982 .

[4]  T. Schroeder,et al.  Comparison of analytical approaches for estimating hedge ratios for agricultural commodities , 1987 .

[5]  T. Schneeweis,et al.  A note on the hedging effectiveness of foreign currency futures , 1981 .

[6]  P. Phillips Time series regression with a unit root , 1987 .

[7]  Robert J. Myers,et al.  Generalized Optimal Hedge Ratio Estimation , 1988 .

[8]  Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades , 1992 .

[9]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[10]  P. Phillips Testing for a Unit Root in Time Series Regression , 1988 .

[11]  R. Myers Estimating timevarying optimal hedge ratios on futures markets , 1991 .

[12]  H. Akaike A new look at the statistical model identification , 1974 .

[13]  Stephen Figlewski,et al.  Hedging with stock index futures: Theory and application in a new market , 1985 .

[14]  W. Fuller,et al.  LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .

[15]  C. Granger Some properties of time series data and their use in econometric model specification , 1981 .

[16]  L. Ederington,et al.  The Hedging Performance of the New Futures Markets , 1979 .