Hedging effectiveness of stock index futures

DOI10.1016/J.EJOR.2004.01.007zbMath1066.91044OpenAlexW2057657136MaRDI QIDQ704076

Jason Laws, John Thompson

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.007

zbMATH Keywords

HedgingMinimum variance hedge ratioStock index futures

Mathematics Subject Classification ID

Related Items (6)

Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets ⋮ Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector? ⋮ The global minimum variance hedge ⋮ Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts ⋮ Index Fund Optimization Using Genetic Algorithm and Scatter Diagram Based on Coefficients of Determination ⋮ Hedging with automatic liquidation and leverage selection on bitcoin futures

Uses Software

• RiskMetrics

Cites Work

• Estimating the dimension of a model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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