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Journal of Futures Markets

Volumn 18, Issue 7, 1998, Pages 851-866

Are regression approach futures hedge ratios stationary?

(2) Ferguson, Robert a Leistikow, Dean b

a Axiomatic Systems Inc (United States)

b FORDHAM UNIVERSITY (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032398989 PISSN: 02707314 EISSN: None Source Type: Journal
DOI: 10.1002/(SICI)1096-9934(199810)18:7<851::AID-FUT5>3.0.CO;2-V Document Type: Article

Times cited : (7)

References (11)

1
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2
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- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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- (1981) Econometrica , vol.49 , pp. 1057-1072
- Dickey, D.¹ Fuller, W.²

3
- 84977354474
- The Hedging Performance of the New Futures Markets
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- (1979) The Journal of Finance , vol.34 , pp. 157-170
- Ederington, L.¹

4
- 0003421261
- 3rd edition. New York: Wiley
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- (1957) An Introduction to Probability Theory and Its Applications , vol.1
- Feller, W.¹

5
- 84979389754
- Stability and Hedging Performance of Foreign Currency Futures
- Grammatikos, T., and Saunders, A. (1983): "Stability and Hedging Performance of Foreign Currency Futures," The Journal of Futures Markets, 3:295-305.
- (1983) The Journal of Futures Markets , vol.3 , pp. 295-305
- Grammatikos, T.¹ Saunders, A.²

6
- 84986465465
- The Hedging Effectiveness of Foreign Currency Futures
- Hill, J., and Schneeweis, T. (1982): "The Hedging Effectiveness of Foreign Currency Futures," Journal of Financial Research, 5:95-104.
- (1982) Journal of Financial Research , vol.5 , pp. 95-104
- Hill, J.¹ Schneeweis, T.²

7
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- Announcements and Futures Price Variability
- Leistikow, D. (1989): "Announcements and Futures Price Variability," The Journal of Futures Markets, 9:477-486.
- (1989) The Journal of Futures Markets , vol.9 , pp. 477-486
- Leistikow, D.¹

8
- 84978598865
- Impacts of Shifts in Uncertainty on Spot and Futures Price Change Serial Correlation and Standardized Covariation Measures
- Leistikow, D. (1993): "Impacts of Shifts in Uncertainty on Spot and Futures Price Change Serial Correlation and Standardized Covariation Measures," The Journal of Futures Markets, 13:873-887.
- (1993) The Journal of Futures Markets , vol.13 , pp. 873-887
- Leistikow, D.¹

9
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- Test of Random Walk of Hedge Ratios and Measure of Hedging Effectiveness for Stock Indexes and Foreign Currencies
- Malliaris A., and Urrutia J. (1991): "Test of Random Walk of Hedge Ratios and Measure of Hedging Effectiveness for Stock Indexes and Foreign Currencies," The Journal of Futures Markets, 11:55-68.
- (1991) The Journal of Futures Markets , vol.11 , pp. 55-68
- Malliaris, A.¹ Urrutia, J.²

10
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- Nonconstant Optimal Hedge Ratio Estimation and Nested Hypotheses Tests
- McNew, K., and Fackler, P. (1994): "Nonconstant Optimal Hedge Ratio Estimation and Nested Hypotheses Tests," The Journal of Futures Markets, 14:619-635.
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11
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- New Tests of Randomness in Futures Hedge Ratios
- working paper presented
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- Perfect, S.¹ Wiles, K.²

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