Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract
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References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- Zanotti, Giovanna & Gabbi, Giampaolo & Geranio, Manuela, 2010. "Hedging with futures: Efficacy of GARCH correlation models to European electricity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 135-148, April.
- John Hua Fan & Eduardo Roca & Alexandr Akimov, 2010. "Hedging With Futures Contract: Estimation and Performance Evaluation of Optimal Hedge Ratios in the European Union Emissions Trading Scheme," Discussion Papers in Finance finance:201009, Griffith University, Department of Accounting, Finance and Economics.
- Elisa Scarpa & Matteo Manera, 2008.
"Pricing and hedging illiquid energy derivatives: An application to the JCC index,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 28(5), pages 464-487, May.
- Matteo Manera & Elisa Scarpa, 2006. "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers 2006.130, Fondazione Eni Enrico Mattei.
- Scarpa, Elisa & Manera, Matteo, 2006. "Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index," International Energy Markets Working Papers 12115, Fondazione Eni Enrico Mattei (FEEM).
More about this item
KeywordsHedging effectiveness; minimum variance hedge ratio (MVHR); hedging models; Standard & Poor’s 500 stock index futures;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-01 (All new papers)
- NEP-FIN-2006-01-01 (Finance)
- NEP-FMK-2006-01-01 (Financial Markets)
- NEP-FOR-2006-01-01 (Forecasting)
- NEP-RMG-2006-01-01 (Risk Management)
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