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Quarterly Review of Economics and Finance
Volumn 44, Issue 5 SPEC.ISS., 2004, Pages 654-658
Cointegration and the optimal hedge ratio: The general case
Author keywords

Cointegration; Hedging effectiveness; Optimal hedge ratio
Indexed keywords

EID: 17144424203     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2003.08.004     Document Type: Article
Times cited : (29)
References (6)
  • 1
    • 84977354474 scopus 로고
    • The hedging performance of the new futures markets
    • Ederington L.H. The hedging performance of the new futures markets Journal of Finance 34 1979 157-170
    • (1979) Journal of Finance , vol.34 , pp. 157-170
    • Ederington, L.H.1
  • 2
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle R.B. & Granger C.W. Cointegration and error correction: Representation, estimation, and testing Econometrica 55 1987 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.B.1    Granger, C.W.2
  • 3
    • 0000313261 scopus 로고
    • Price movements and price discovery in futures and cash markets
    • Garbade K.D. & Silber W.L. Price movements and price discovery in futures and cash markets Review of Economics and Statistics 65 1983 289-297
    • (1983) Review of Economics and Statistics , vol.65 , pp. 289-297
    • Garbade, K.D.1    Silber, W.L.2
  • 4
    • 84978601031 scopus 로고
    • Hedging with stock index futures: Estimation and forecasting with error correction model
    • Ghosh A. Hedging with stock index futures: Estimation and forecasting with error correction model Journal of Futures Markets 13 1993 743-752
    • (1993) Journal of Futures Markets , vol.13 , pp. 743-752
    • Ghosh, A.1
  • 5
    • 0030524637 scopus 로고    scopus 로고
    • The effect of the cointegration relationship on futures hedging: A note
    • Lien D. The effect of the cointegration relationship on futures hedging: A note Journal of Futures Markets 16 1996 773-780
    • (1996) Journal of Futures Markets , vol.16 , pp. 773-780
    • Lien, D.1
  • 6
    • 17144393844 scopus 로고    scopus 로고
    • The sensitivity of optimal hedge ratio to model specification
    • Moosa I. The sensitivity of optimal hedge ratio to model specification Finance Letters 1 2003 15-20
    • (2003) Finance Letters , vol.1 , pp. 15-20
    • Moosa, I.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.