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An examination of basis risk due to estimation

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  • James T. Moser
  • Billy Helms

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  • James T. Moser & Billy Helms, 1990. "An examination of basis risk due to estimation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(5), pages 457-467, October.
    • Handle: RePEc:wly:jfutmk:v:10:y:1990:i:5:p:457-467
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    Cited by:

    1. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
    2. Ji-Yong Seo & Sangmi Chai, 2013. "The role of algorithmic trading systems on stock market efficiency," Information Systems Frontiers, Springer, vol. 15(5), pages 873-888, November.
    3. Kellner, Ralf & Gatzert, Nadine, 2013. "Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4353-4367.
    4. Frechette, Darren L., 2000. "Hedging With Futures And Options: A Demand Systems Approach," 2000 Conference, April 17-18 2000, Chicago, Illinois 18941, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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