Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 42 (2007)
Issue (Month): 04 (December)
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- Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
- Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank, Research Centre.
- Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
- Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, School of Economics and Finance, revised 28 Mar 2013.
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