Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method
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DOI: 10.1016/j.physa.2016.09.056
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References listed on IDEAS
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Cited by:
- Khalfaoui, Rabeh, 2018. "Oil–gold time varying nexus: A time–frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 86-104.
- Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022.
"On the stationarity of futures hedge ratios,"
Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
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Keywords
Downside risk; Wavelet decomposition; Multi-scale hedge ratio;All these keywords.
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