Futures hedge ratios: a review
By Sheng-Syan Chen, Cheng-Few Lee, K. Shrestha. 2003
199 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/92bbb3764aff402eebc3dca1c37d9df75a718a6b
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
- Y. Ku
- Kuang-hua Chen
- Monica Billio
- Roberto Casarin
- Anthony Osuntuyi
- Ho-Chyuan Chen
- Mohamed Arouri
- Juri Marcucci
In Finance
- Y. Ku
- Kuang-hua Chen
- Monica Billio
- Roberto Casarin
- Anthony Osuntuyi
- Ho-Chyuan Chen
- Mohamed Arouri
- Juri Marcucci
Citations in the corpus
- Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010, unknown): “The success of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986) has subsequently led to a family of univariate and multivariate GARCH models which can capture different”
- Markov switching GARCH models for Bayesian hedging on energy futures markets (2013, methodology): “The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed for this by Haigh and Holt (2002), Chang et al.”
- On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007, background): “3 For discussions of other hedging strategies, readers can refer to Chen et al. (2003).”