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Hedging Performance and Basis Risk in Stock Index Futures

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Author Info
 Figlewski, Stephen
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 39 (1984)
Issue (Month): 3 (July)
Pages: 657-69
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Handle: RePEc:bla:jfinan:v:39:y:1984:i:3:p:657-69

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  1. Christian Dunis, Pierre Lequeux, 2000. "Intraday data and hedging efficiency in interest spread trading," European Journal of Finance, Taylor and Francis Journals, vol. 6(4), pages 332-352, December. [Downloadable!] (restricted)
  2. repec:mop:credwp:08.09.77 is not listed on IDEAS
  3. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO. [Downloadable!]
  4. Atreya Chakraborty, John T. Barkoulas, 1999. "Dynamic futures hedging in currency markets," European Journal of Finance, Taylor and Francis Journals, vol. 5(4), pages 299-314, December. [Downloadable!] (restricted)
  5. Hsiang-Tai Lee & Jonathan Yoder, 2005. "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics 0506009, EconWPA. [Downloadable!]
    Other versions:
  6. Michael Dueker & Thomas W. Miller, Jr., 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis. [Downloadable!]
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