A note on the hedging effectiveness of GARCH models

By Donald Lien. 2009

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/75109ee60b1017430761b0ed5f495685b2073293

How researchers see this paper

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In Economics and Econometrics

1. Monica Billio
2. Roberto Casarin
3. Anthony Osuntuyi
4. Juri Marcucci

In Finance

1. Monica Billio
2. Roberto Casarin
3. Anthony Osuntuyi
4. Juri Marcucci

Citations in the corpus

• Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009, unknown): “2 Some recent research has focused on examining the optimal hedge ratios and hedging effectiveness under different model specifications (e.g., Choudhry 2004, 2009; Demirer and Lien, 2003; Lien, 2005, 2009; Lien and Shrestha, 2008; McMillan, 2005).”
• Markov switching GARCH models for Bayesian hedging on energy futures markets (2013, background): “See Lien (2005) and Lien (2009) for discussion.”