ESTIMATING TIME-VARYING OPTIMAL HEDGE RATIOS ON FUTURES MARKETS

[1] HEDGING WITH FUTURES IN AN INTERTEMPORAL PORTFOLIO CONTEXT [J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (03) : 249 - 269

[2] CROSS HEDGING [J]. JOURNAL OF POLITICAL ECONOMY, 1981, 89 (06) : 1182 - 1196

[3] ANDERSON RW, 1985, J FUTURES MARKETS, V5, P332

[4] BAILLIE RT, 1989, CSFM201 CTR STUD FUT

[5] THE OPTIMAL HEDGE RATIO IN UNBIASED FUTURES MARKETS [J]. JOURNAL OF FUTURES MARKETS, 1984, 4 (02) : 155 - 159

[6] BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653

[7] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[8] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[9] ESTIMATION OF THE OPTIMAL FUTURES HEDGE [J]. REVIEW OF ECONOMICS AND STATISTICS, 1988, 70 (04) : 623 - 630

[10] HEDGING PERFORMANCE OF THE NEW FUTURES MARKETS [J]. JOURNAL OF FINANCE, 1979, 34 (01) : 157 - 170

[1] HEDGING WITH FUTURES IN AN INTERTEMPORAL PORTFOLIO CONTEXT [J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (03) : 249 - 269

[2] CROSS HEDGING [J]. JOURNAL OF POLITICAL ECONOMY, 1981, 89 (06) : 1182 - 1196

[3] ANDERSON RW, 1985, J FUTURES MARKETS, V5, P332

[4] BAILLIE RT, 1989, CSFM201 CTR STUD FUT

[5] THE OPTIMAL HEDGE RATIO IN UNBIASED FUTURES MARKETS [J]. JOURNAL OF FUTURES MARKETS, 1984, 4 (02) : 155 - 159

[6] BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653

[7] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) : 116 - 131

[8] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J]. JOURNAL OF ECONOMETRICS, 1986, 31 (03) : 307 - 327

[9] ESTIMATION OF THE OPTIMAL FUTURES HEDGE [J]. REVIEW OF ECONOMICS AND STATISTICS, 1988, 70 (04) : 623 - 630

[10] HEDGING PERFORMANCE OF THE NEW FUTURES MARKETS [J]. JOURNAL OF FINANCE, 1979, 34 (01) : 157 - 170