Add to ORKGThe use of intradaily data to produce daily variance measures has resulted in increased forecast accuracy and better hedging for many markets. However, this paper shows that improved hedging ratios can depend on the behavior of price disruptions in the assets. When spot and future prices for the same asset do not jump simultaneously inferior hedging outcomes can be observed. This problem dominates potential bias from thin trading. Using US Treasury data we demonstrate how the extent of non-synchronized jumping leads to the �nding that optimal hedging ratios are not improved with intradaily data in this market
We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding f...
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between t...
This paper examines the price volatility and hedging behavior of commodity futures indices and stock...
The use of intradaily data to produce daily variance measures has resulted in increased forecast acc...
The basis between spot and future prices will be affected by jump behavior in each asset price, chal...
We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futur...
There is widespread evidence that the volatility of stock returns displays an asymmetric response to...
This article examines the ability of several models to generate optimal hedge ratios. Statistical mo...
Firms seeking to apply hedge accounting treatment under the Accounting Standards Codification Topic ...
This paper examines the volatility and covariance dynamics of cash and futures contracts that underl...
When hedging in futures markets, the hedge instruments typically fail to match the exposed asset or ...
This paper examines the volatility and covariance dynamics of cash and futures contracts that under...
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging...
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index fut...
1 T he debate on econometric models for estimating the minimum-variance futures hedge ratio has run ...
We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding f...
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between t...
This paper examines the price volatility and hedging behavior of commodity futures indices and stock...
The use of intradaily data to produce daily variance measures has resulted in increased forecast acc...
The basis between spot and future prices will be affected by jump behavior in each asset price, chal...
We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futur...
There is widespread evidence that the volatility of stock returns displays an asymmetric response to...
This article examines the ability of several models to generate optimal hedge ratios. Statistical mo...
Firms seeking to apply hedge accounting treatment under the Accounting Standards Codification Topic ...
This paper examines the volatility and covariance dynamics of cash and futures contracts that underl...
When hedging in futures markets, the hedge instruments typically fail to match the exposed asset or ...
This paper examines the volatility and covariance dynamics of cash and futures contracts that under...
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging...
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index fut...
1 T he debate on econometric models for estimating the minimum-variance futures hedge ratio has run ...
We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding f...
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between t...
This paper examines the price volatility and hedging behavior of commodity futures indices and stock...