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Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note

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  1. Jui-Cheng Hung & Chien-Liang Chiu & Ming-Chih Lee, 2006. "Hedging with zero-value at risk hedge ratio," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 259-269.
  2. Abdulnasser Hatemi-J & Youssef El-Khatib, 2012. "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 699-703, May.
  3. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
  4. Lafuente, Juan A. & Novales, Alfonso, 2003. "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1053-1078, June.
  5. Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2005. "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting New Series, chapter 8, pages 129-151, World Scientific Publishing Co. Pte. Ltd..
  6. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
  7. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  8. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  9. Corbet, Shaen & Lucey, Brian & Peat, Maurice & Vigne, Samuel, 2018. "Bitcoin Futures—What use are they?," Economics Letters, Elsevier, vol. 172(C), pages 23-27.
  10. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  11. Francesco Pattarin & Riccardo Ferretti, 2004. "The Mib30 index and futures relationship: econometric analysis and implications for hedging," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1281-1289.
  12. 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).
  13. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
  14. Lien, Donald & Yang, Li, 2008. "Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 187-198, February.
  15. Pandey, Ajay, 2008. "Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets," IIMA Working Papers WP2008-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  16. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
  17. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  18. Philippe Boveroux & Albert Minguet, 1999. "Selecting hedge ratio maximizing utility or adjusting portfolio's beta," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 423-432.
  19. Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
  20. Donald Lien & Y. K. Tse & Albert Tsui, 2002. "Evaluating the hedging performance of the constant-correlation GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 791-798.
  21. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
  22. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
  23. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
  24. Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
  25. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics.
  26. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
  27. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  28. Markopoulou, Chrysi E. & Skintzi, Vasiliki D. & Refenes, Apostolos-Paul N., 2016. "Realized hedge ratio: Predictability and hedging performance," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 121-133.
  29. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
  30. Adams, Zeno & Gerner, Mathias, 2012. "Cross hedging jet-fuel price exposure," Energy Economics, Elsevier, vol. 34(5), pages 1301-1309.
  31. Hsiang-Tai Lee & Jonathan Yoder, 2007. "A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios," Applied Economics, Taylor & Francis Journals, vol. 39(10), pages 1253-1265.
  32. Babu Jose & James Varghese, 2021. "Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 327-340, April.
  33. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
  34. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
  35. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, University Library of Munich, Germany.
  36. Chang, Chiao-Yi & Lai, Jing-Yi & Chuang, I-Yuan, 2010. "Futures hedging effectiveness under the segmentation of bear/bull energy markets," Energy Economics, Elsevier, vol. 32(2), pages 442-449, March.
  37. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 293-299.
  38. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
  39. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
  40. Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
  41. Zhou, Jian, 2016. "Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods," Economic Modelling, Elsevier, vol. 52(PB), pages 690-698.
  42. 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, Tasmanian School of Business and Economics, revised 28 Mar 2013.
  43. Michael S. Haigh & Matthew T. Holt, 2002. "Combining time-varying and dynamic multi-period optimal hedging models," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 29(4), pages 471-500, December.
  44. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
  45. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
  46. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3075-3082, February.
  47. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
  48. Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.
  49. Yudong Wang & Chongfeng Wu & Li Yang, 2015. "Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?," Management Science, INFORMS, vol. 61(12), pages 2870-2889, December.
  50. Lim, Siew Hoon & Turner, Peter A., 2016. "Airline Fuel Hedging: Do Hedge Horizon and Contract Maturity Matter?," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 55(1), April.
  51. Aragó, Vicent & Salvador, Enrique, 2011. "Sudden changes in variance and time varying hedge ratios," European Journal of Operational Research, Elsevier, vol. 215(2), pages 393-403, December.
  52. Barik Kumar & M. Supriya, 2014. "Evidence on Hedging Effectiveness in Indian Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 121-131, May.
  53. Suo, Yuan-Yuan & Wang, Dong-Hua & Li, Sai-Ping, 2015. "Risk estimation of CSI 300 index spot and futures in China from a new perspective," Economic Modelling, Elsevier, vol. 49(C), pages 344-353.
  54. Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
  55. Yu‐Sheng Lai, 2021. "Generalized autoregressive score model with high‐frequency data for optimal futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2023-2045, December.
  56. Hung, Jui-Cheng & Yi-Hsien Wang, & Chang, Matthew C. & Shih, Kuang-Hsun & Hsiu-Hsueh Kao,, 2011. "Minimum variance hedging with bivariate regime-switching model for WTI crude oil," Energy, Elsevier, vol. 36(5), pages 3050-3057.
  57. Yu-Sheng Lai, 2018. "Dynamic hedging with futures: a copula-based GARCH model with high-frequency data," Review of Derivatives Research, Springer, vol. 21(3), pages 307-329, October.
  58. Pablo Urtubia & Alfonso Novales & Andrés Mora-Valencia, 2021. "Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index," Mathematics, MDPI, vol. 9(21), pages 1-19, October.
  59. You‐How Go & Jia‐Jun Teo & Kam Fong Chan, 2023. "The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1559-1575, November.
  60. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
  61. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
  62. Bai, Yujuan & Pan, Zhiyuan & Liu, Li, 2019. "Improving futures hedging performance using option information: Evidence from the S&P 500 index," Finance Research Letters, Elsevier, vol. 28(C), pages 112-117.
  63. Manfredo, Mark R. & Garcia, Philip & Leuthold, Raymond M., 2000. "Time-Varying Multiproduct Hedge Ratio Estimation In The Soybean Complex: A Simplified Approach," 2000 Conference, April 17-18 2000, Chicago, Illinois 18933, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  64. Rao, Vadhindran K., 2000. "Preference-free optimal hedging using futures," Economics Letters, Elsevier, vol. 66(2), pages 223-228, February.
  65. Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
  66. Eduardo Rossi & Claudio Zucca, 2002. "Hedging interest rate risk with multivariate GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 241-251.
  67. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  68. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
  69. Alexandridis, George & Sahoo, Satya & Song, Dong-Wook & Visvikis, Ilias, 2018. "Shipping risk management practice revisited: A new portfolio approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 110(C), pages 274-290.
  70. Lee, Hsiang-Tai, 2009. "Optimal futures hedging under jump switching dynamics," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 446-456, June.
  71. Ah-Boon Sim & Ralf Zurbruegg, 2001. "Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 269-283.
  72. Yu‐Sheng Lai, 2023. "Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 677-701, May.
  73. Wen-Chung Hsu & Hsiang-Tai Lee, 2018. "Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk," IJFS, MDPI, vol. 6(2), pages 1-17, April.
  74. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.
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