Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
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DOI: 10.1016/j.pacfin.2013.04.001
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Cited by:
- Mensi, Walid & Hkiri, Besma & Al-Yahyaee, Khamis H. & Kang, Sang Hoon, 2018. "Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 74-102.
- Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
- Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
- Huang, Ying Sophie & Yao, Juan & Zhu, Yu, 2018. "Thriving in a disrupted market: a study of Chinese hedge fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 210-223.
- Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
- Mandeep Kaur & Kapil Gupta, 2019. "Estimating Hedging Effectiveness Using Variance Reduction And Risk-Return Approaches: Evidence From National Stock Exchange Of India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 8(4), pages 149-169.
- Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
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More about this item
Keywords
Hedge ratio; Hedging effectiveness; Wavelet analysis; Bivariate GARCH;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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