-
1
-
-
0004051206
-
-
Working paper, University of California, San Diego
-
Baba, Y., R. Engle, D. Kraft, and K. Kroner. "Multivariate Simultaneous Generalized ARCH." Working paper, University of California, San Diego, 1987.
-
(1987)
Multivariate Simultaneous Generalized ARCH
-
-
Baba, Y.1
Engle, R.2
Kraft, D.3
Kroner, K.4
-
2
-
-
0010794381
-
On the interdependence of international asset markets
-
Aggarwal and Schrim, eds. Academic Press
-
Baillie, R., and T. Bollerslev. "On the Interdependence of International Asset Markets." in Aggarwal and Schrim, eds., Global Portfolio Diversification: Risk Management, Market Microstructure and Implementation Issues. Academic Press, 1995, pp. 19-29.
-
(1995)
Global Portfolio Diversification: Risk Management, Market Microstructure and Implementation Issues
, pp. 19-29
-
-
Baillie, R.1
Bollerslev, T.2
-
3
-
-
84986414666
-
Bivariate GARCH estimation of the optimal commodity futures hedge
-
Baillie, R., and R. Myers. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge." Journal of Applied Econometrics, 6 (1991), pp. 109-124.
-
(1991)
Journal of Applied Econometrics
, vol.6
, pp. 109-124
-
-
Baillie, R.1
Myers, R.2
-
4
-
-
0008021038
-
Estimation of time-varying hedge ratios for corn and soybeans: Bgarch and random coefficients approaches
-
Working paper
-
Bera, A., P. Garcia, and J. Roh. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficients Approaches." Office for Futures and Options Research, Working paper, 1997, pp. 97-106.
-
(1997)
Office for Futures and Options Research
, pp. 97-106
-
-
Bera, A.1
Garcia, P.2
Roh, J.3
-
5
-
-
35548931351
-
Efficient tests for normality, heteroskedasticity, and serial independence of regression residuals
-
Bera, A., and C. Jarque. "Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals." Economic Letters, 6 (1980), pp. 255-259.
-
(1980)
Economic Letters
, vol.6
, pp. 255-259
-
-
Bera, A.1
Jarque, C.2
-
6
-
-
0001211603
-
Estimation and inference in nonlinear structural models
-
Berndt, E., B. Hall, R. Hall, and J. Hausman. "Estimation and Inference in Nonlinear Structural Models." Annals of Economic and Social Measurement, 3/4 (1974), pp. 653-665.
-
(1974)
Annals of Economic and Social Measurement
, vol.3
, Issue.4
, pp. 653-665
-
-
Berndt, E.1
Hall, B.2
Hall, R.3
Hausman, J.4
-
7
-
-
0000375581
-
A conditional heteroskedastic time series model for speculative prices and rates of return
-
Bollerslev, T. "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return." Review of Economics and Statistics, 69 (1987), pp. 542-547.
-
(1987)
Review of Economics and Statistics
, vol.69
, pp. 542-547
-
-
Bollerslev, T.1
-
8
-
-
42449156579
-
Generalized autoregressive conditional Heteroskedasticity
-
-. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, 31 (1986), pp. 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
9
-
-
0001023182
-
Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH process
-
-. "Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Process." Review of Economics and Statistics, 72 (1990), pp. 498-505.
-
(1990)
Review of Economics and Statistics
, vol.72
, pp. 498-505
-
-
Bollerslev, T.1
-
10
-
-
70350121603
-
ARCH models
-
R.F. Engle and V. McFadden, eds. Amsterdam: North Holland
-
Bollerslev, T., R.F. Engle, and D.B. Nelson. "ARCH Models." in R.F. Engle and V. McFadden, eds., Handbook of Econometrics. Amsterdam: North Holland, 1994, pp. 2959-3038.
-
(1994)
Handbook of Econometrics
, pp. 2959-3038
-
-
Bollerslev, T.1
Engle, R.F.2
Nelson, D.B.3
-
11
-
-
70349218800
-
Quasi-maximum likelihood estimation of dynamic models with time varying covariances
-
Bollerslev, T., and J.M. Wooldridge. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances." Econometric Reviews, 11 (1992), pp. 143-172.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-172
-
-
Bollerslev, T.1
Wooldridge, J.M.2
-
12
-
-
84978556190
-
Oil prices and energy futures
-
Chen, K.C., R.S. Sears, and D. Tzang. "Oil Prices and Energy Futures." Journal of Futures Markets, 7 (1987), pp. 501-518.
-
(1987)
Journal of Futures Markets
, vol.7
, pp. 501-518
-
-
Chen, K.C.1
Sears, R.S.2
Tzang, D.3
-
13
-
-
84981676740
-
Finite sample sizes of johansen's likelihood ratio tests for cointegration
-
Cheung, Y., and K. Lai. "Finite Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration." Oxford Bulletin of Economics and Statistics, 55 (1993), pp. 313-328.
-
(1993)
Oxford Bulletin of Economics and Statistics
, vol.55
, pp. 313-328
-
-
Cheung, Y.1
Lai, K.2
-
14
-
-
0031492875
-
Short-run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong, and Japan
-
Choudhry, T. "Short-Run Deviations and Volatility in Spot and Futures Stock Returns: Evidence from Australia, Hong Kong, and Japan." Journal of Futures Markets, 17 (1997), pp. 689-705.
-
(1997)
Journal of Futures Markets
, vol.17
, pp. 689-705
-
-
Choudhry, T.1
-
15
-
-
0000472488
-
Likelihood ratio statistics for autoregressive time series with a unit root
-
Dickey, D., and W. Fuller. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica, 49 (1981), pp. 1057-1072.
-
(1981)
Econometrica
, vol.49
, pp. 1057-1072
-
-
Dickey, D.1
Fuller, W.2
-
16
-
-
84977354474
-
The hedging performance of the new futures markets
-
Ederington, L.H. "The Hedging Performance of the New Futures Markets." Journal of Finance, 34 (1979), pp. 157-170.
-
(1979)
Journal of Finance
, vol.34
, pp. 157-170
-
-
Ederington, L.H.1
-
17
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R.F. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica, 50 (1982), pp. 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
18
-
-
0000013567
-
Cointegration and error correction: Representation, estimation, and testing
-
Engle, R.F., and C.W. Granger. "Cointegration and Error Correction: Representation, Estimation, and Testing." Econometrica, 55 (1987), pp. 251-276.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.2
-
19
-
-
84974122247
-
Multivariate simultaneous generalised ARCH
-
Engle, R.F., and K.F. Kroner. "Multivariate Simultaneous Generalised ARCH." Econometric Theory, 11 (1995), pp. 122-150.
-
(1995)
Econometric Theory
, vol.11
, pp. 122-150
-
-
Engle, R.F.1
Kroner, K.F.2
-
20
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engle, R.F., and V.K. Ng. "Measuring and Testing the Impact of News on Volatility." Journal of Finance, 48 (1993), pp. 1749-1778.
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engle, R.F.1
Ng, V.K.2
-
21
-
-
0001729966
-
Hedging performance and basis rsk in stock index futures
-
Figlewski, S. "Hedging Performance and Basis Rsk in Stock Index Futures." Journal of Finance, 39 (1984), pp. 657-669.
-
(1984)
Journal of Finance
, vol.39
, pp. 657-669
-
-
Figlewski, S.1
-
22
-
-
84978553437
-
Hedging short-term interest risk under time-varying distributions
-
Gagnon, L., and G Lypny. "Hedging Short-Term Interest Risk Under Time-Varying Distributions." Journal of Futures Markets, 15 (1995), pp. 767-783.
-
(1995)
Journal of Futures Markets
, vol.15
, pp. 767-783
-
-
Gagnon, L.1
Lypny, G.2
-
23
-
-
0039307875
-
Simultaneously determined, time-varying hedge ratios in the soybean complex
-
Garcia, P., J. Roh., and M. Leuthold. "Simultaneously Determined, Time-Varying Hedge Ratios in the Soybean Complex." Applied Economics, 27 (1995), pp. 1127-1134.
-
(1995)
Applied Economics
, vol.27
, pp. 1127-1134
-
-
Garcia, P.1
Roh, J.2
Leuthold, M.3
-
24
-
-
84978549207
-
A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
-
Geppert, J. "A Statistical Model for the Relationship between Futures Contract Hedging Effectiveness and Investment Horizon Length." Journal of Futures Markets, 15 (1995), pp. 507-536.
-
(1995)
Journal of Futures Markets
, vol.15
, pp. 507-536
-
-
Geppert, J.1
-
25
-
-
84978601031
-
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), pp. 743-752.
-
(1993)
Journal of Futures Markets
, vol.13
, pp. 743-752
-
-
Ghosh, A.1
-
26
-
-
33748632313
-
Five alternative methods of estimating long-run equilibrium relationships
-
Gonzalo, J. "Five Alternative Methods of Estimating Long-Run Equilibrium Relationships." Econometrica, 60 (1994), pp. 203-233.
-
(1994)
Econometrica
, vol.60
, pp. 203-233
-
-
Gonzalo, J.1
-
27
-
-
0031496781
-
Program trading, non-program trading and market volatility
-
Hogan, K., K. Kroner, and J. Sultan. "Program Trading, Non-program Trading and Market Volatility." Journal of Futures Markets, 17 (1997), pp. 733-756.
-
(1997)
Journal of Futures Markets
, vol.17
, pp. 733-756
-
-
Hogan, K.1
Kroner, K.2
Sultan, J.3
-
28
-
-
0000158117
-
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
-
Johansen, S. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models." Econometrica, 59 (1991), pp. 1551-1580.
-
(1991)
Econometrica
, vol.59
, pp. 1551-1580
-
-
Johansen, S.1
-
29
-
-
0345510809
-
Statistical analysis of cointegrating vectors
-
Johansen, S. "Statistical Analysis of Cointegrating Vectors." Journal of Economic Dynamics and Control, 12 (1988), pp. 231-254.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, pp. 231-254
-
-
Johansen, S.1
-
30
-
-
0000401690
-
The dynamics of time varying volatilities in different size second-hand ship prices of the dry-cargo sector
-
Kavussanos, M. "The Dynamics of Time Varying Volatilities in Different Size Second-Hand Ship Prices of the Dry-Cargo Sector." Applied Economics, 29 (1997), pp. 433-443.
-
(1997)
Applied Economics
, vol.29
, pp. 433-443
-
-
Kavussanos, M.1
-
31
-
-
0033420965
-
The forward pricing function of the shipping freight futures market
-
Kavussanos, M. and N. Nomikos. "The Forward Pricing Function of the Shipping Freight Futures Market." Journal of Futures Markets, 19 (1999), pp. 353-376.
-
(1999)
Journal of Futures Markets
, vol.19
, pp. 353-376
-
-
Kavussanos, M.1
Nomikos, N.2
-
32
-
-
0034412722
-
Futures hedging when the composition of the underlying asset changes: The case of the BIFFEX contract
-
September
-
-. "Futures Hedging when the Composition of the Underlying Asset Changes: The Case of the BIFFEX Contract." Journal of Futures Markets, Vol. 20, No 6 (September 2000).
-
(2000)
Journal of Futures Markets
, vol.20
, Issue.6
-
-
Kavussanos, M.1
Nomikos, N.2
-
33
-
-
84971942651
-
Time-varying distributions and dynamic hedging with foreign currency futures
-
Kroner, K, and J. Sultan. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures." Journal of Financial and Quantitative Analysis, 28 (1993), pp. 535-551.
-
(1993)
Journal of Financial and Quantitative Analysis
, vol.28
, pp. 535-551
-
-
Kroner, K.1
Sultan, J.2
-
34
-
-
38149148141
-
Spread and volatility in spot and forward exchange rates
-
Lee, T. "Spread and Volatility in Spot and Forward Exchange Rates." Journal of International Money and Finance, 13 (1994), pp. 375-383.
-
(1994)
Journal of International Money and Finance
, vol.13
, pp. 375-383
-
-
Lee, T.1
-
35
-
-
0001226337
-
Cointegration tests with conditional heteroskedasticity
-
Lee, T., and Y. Tse. "Cointegration Tests with Conditional Heteroskedasticity." Journal of Econometrics, 73 (1996), pp. 401-410.
-
(1996)
Journal of Econometrics
, vol.73
, pp. 401-410
-
-
Lee, T.1
Tse, Y.2
-
36
-
-
0030524637
-
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), pp. 773-780.
-
(1996)
Journal of Futures Markets
, vol.16
, pp. 773-780
-
-
Lien, D.1
-
37
-
-
84978580845
-
Minimum variance hedge ratios for stock index futures: Duration and expiration effects
-
Lindahl, M. "Minimum Variance Hedge Ratios for Stock Index Futures: Duration and Expiration Effects." Journal of Futures Markets, 12 (1992), pp. 33-53.
-
(1992)
Journal of Futures Markets
, vol.12
, pp. 33-53
-
-
Lindahl, M.1
-
38
-
-
0017846358
-
On a measure of lack of fit in time series models
-
Ljung, M., and G. Box. "On a Measure of Lack of Fit in Time Series Models." Biometrika, 65 (1978), pp. 297-303.
-
(1978)
Biometrika
, vol.65
, pp. 297-303
-
-
Ljung, M.1
Box, G.2
-
39
-
-
84978561789
-
Estimating time-varying optimal hedge ratios on futures markets
-
Myers, R. "Estimating Time-Varying Optimal Hedge Ratios on Futures Markets." Journal of Futures Markets, 11 (1991), pp. 39-53.
-
(1991)
Journal of Futures Markets
, vol.11
, pp. 39-53
-
-
Myers, R.1
-
40
-
-
0000631178
-
A note with the quantiles of the asymptotic distribution of the ML cointegration rank test statistics
-
Osterwald-Lenum, M. "A Note with the Quantiles of the Asymptotic Distribution of the ML Cointegration Rank Test Statistics." Oxford Bulletin of Economics and Statistics, 54 (1992), pp. 461-472.
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, pp. 461-472
-
-
Osterwald-Lenum, M.1
-
41
-
-
84978584999
-
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
-
Park, T., and L. Switzer. "Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note." Journal of Futures Markets, 15 (1995), pp. 61-67.
-
(1995)
Journal of Futures Markets
, vol.15
, pp. 61-67
-
-
Park, T.1
Switzer, L.2
-
42
-
-
77956888124
-
Testing for a unit root in time series regressions
-
Phillips, P., and P. Perron. "Testing for a Unit Root in Time Series Regressions." Biometrica, 75 (1988), pp. 335-346.
-
(1988)
Biometrica
, vol.75
, pp. 335-346
-
-
Phillips, P.1
Perron, P.2
-
43
-
-
0000120766
-
Estimating the dimension of a model
-
Schwarz, G. "Estimating the Dimension of a Model." Annals of Statistics, 6 (1978), pp. 461-464.
-
(1978)
Annals of Statistics
, vol.6
, pp. 461-464
-
-
Schwarz, G.1
-
44
-
-
0002582684
-
The hedging effectiveness of dry bulk freight rate futures
-
Thuong, L.T., and S.L. Visscher. "The Hedging Effectiveness of Dry Bulk Freight Rate Futures." Transportation Journal, 29 (1990), pp. 58-65.
-
(1990)
Transportation Journal
, vol.29
, pp. 58-65
-
-
Thuong, L.T.1
Visscher, S.L.2
-
45
-
-
84946357749
-
An efficient method of estimating seemingly unrelated regressions and tests of aggregation bias
-
Zellner, A. "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests of Aggregation Bias." Journal of the American Statistical Association, 57 (1962), pp. 500-509.
-
(1962)
Journal of the American Statistical Association
, vol.57
, pp. 500-509
-
-
Zellner, A.1
|