The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis
By Francis In, Sangbae Kim. 2006
175 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2e7b3c11d01b6ec87e28d66707a4a31c7d2d6121
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Thomas Conlon
- John Cotter
- L. Nunes
- Antonio Rúa
- V. Fernandez
- Lukáš Vácha
- Marco Rocco
- Maria Joana Soares
In Finance
- Thomas Conlon
- John Cotter
- L. Nunes
- Antonio Rúa
- V. Fernandez
- Lukáš Vácha
- Marco Rocco
- Maria Joana Soares
Citations in the corpus
- An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011, methodology): “Similar results were found between the Australian All Ordinaries Index and the Sydney Futures Exchange Share Price Index, (In and Kim, 2006a).”
- Gold, Oil, and Stocks: Dynamic Correlations (2016, unknown): “During the past decade the methodology gained currency and relevant applications of wavelets include analyses of stocks (Fernandez, 2006, 2008; In & Kim, 2006; Rua &Nunes, 2009), commodities (Graham, Kiviaho, & Nikkinen, 2013; Reboredo & Rivera-Castro, 2014a; Vacha & Barunik, 2012), exchange rates…”
- A wavelet-based assessment of market risk: The emerging markets case (2012, background): “…al. (2003, 2005) and Fernandez (2005, 2006), who study the CAPM at different frequency scales, Connor and Rossiter (2005) focus on commodity prices, In and Kim (2006) examine the relationship between the stock and futures markets, Gallegati and Gallegati (2007) provide a wavelet variance analysis…”
- The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework (2013, unknown): “Applying a wavelet analysis has several salient features (In and Kim, 2006).”
- Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement (2008, methodology): “Recent contributions to the literature on heterogeneous investors and the selection of an optimal hedge ratio has focused on a single commodity in isolation (e.g., Lien and Shrestha, 2007; In and Kim, 2006a, 2006 b).”