Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets

Journal of Banking and Finance

Volumn 32, Issue 2, 2008, Pages 187-198

  Lien, Donald ^a   Yang, Li ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Asymmetric basis effect; Dynamic hedging strategy; Time varying volatility and correlation of spot and futures returns

Indexed keywords

EID: 38749124438     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.01.026     Document Type: Article

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