Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance

Mapping Intimacies ◽

10.47260/bae/818 ◽

2021 ◽

Author(s):

Hsiang Hsi Liu ◽

Yu Cheng Lin

Keyword(s):

Jump Diffusion ◽

Stock Index ◽

Volatility Spillover ◽

Diffusion Modeling ◽

Index Futures ◽

Hedging Performance

An out-of-sample comparative analysis of hedging performance of stock index futures: dynamic versus static hedging†

Applied Financial Economics ◽

10.1080/09603100802112284 ◽

2009 ◽

Vol 19 (13) ◽

pp. 1059-1072 ◽

Cited By ~ 6

Author(s):

Ming Jing Yang ◽

Yi-Chuan Lai

Keyword(s):

Comparative Analysis ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Static Hedging ◽

Out Of Sample ◽

Hedging Performance

Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Energy Economics ◽

10.1016/j.eneco.2019.06.020 ◽

2019 ◽

Vol 83 ◽

pp. 119-143 ◽

Cited By ~ 7

Author(s):

Yang Hou ◽

Steven Li ◽

Fenghua Wen

Keyword(s):

Futures Markets ◽

Garch Model ◽

Fuel Oil ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Volatility Spillover ◽

Index Futures ◽

Nonparametric Approach

An econometric investigation of hedging performance of stock index futures in Korea: dynamic versus static hedging

International Journal of Banking Accounting and Finance ◽

10.1504/ijbaaf.2020.106712 ◽

2020 ◽

Vol 11 (2) ◽

pp. 227

Author(s):

Mohammad Hasan ◽

Taufiq Choudhry ◽

Yuanyuan Zhang

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Static Hedging ◽

Hedging Performance

Hedging Performance and Basis Risk in Stock Index Futures

The Journal of Finance ◽

10.1111/j.1540-6261.1984.tb03654.x ◽

1984 ◽

Vol 39 (3) ◽

pp. 657-669 ◽

Cited By ~ 173

Author(s):

STEPHEN FIGLEWSKI

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Basis Risk ◽

Index Futures ◽

Hedging Performance

An Empirical Study on the Hedging Performance of the CSI 300 Stock Index and the CSI 300 Stock Index Futures

The Journal of International Trade & Commerce ◽

10.16980/jitc.11.3.201506.59 ◽

2015 ◽

Vol 11 (3) ◽

pp. 59-76

Author(s):

Rong-Yuan Qin ◽

Byung-Jin Yim

Keyword(s):

Empirical Study ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Performance

An econometric investigation of hedging performance of stock index futures in Korea: dynamic versus static hedging

International Journal of Banking Accounting and Finance ◽

10.1504/ijbaaf.2020.10028050 ◽

2020 ◽

Vol 11 (2) ◽

pp. 227

Author(s):

Yuanyuan Zhang ◽

Taufiq Choudhry ◽

Mohammad Hasan

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Static Hedging ◽

Hedging Performance

Systematic risk, dividend yield and the hedging performance of stock index futures

Journal of Futures Markets ◽

10.1002/fut.3990070102 ◽

1987 ◽

Vol 7 (1) ◽

pp. 1-13 ◽

Cited By ~ 10

Author(s):

Robert Jennings ◽

David Graham

Keyword(s):

Systematic Risk ◽

Stock Index ◽

Stock Index Futures ◽

Dividend Yield ◽

Index Futures ◽

Hedging Performance

Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches

Pacific-Basin Finance Journal ◽

10.1016/j.pacfin.2013.04.001 ◽

2013 ◽

Vol 24 ◽

pp. 109-131 ◽

Cited By ~ 12

Author(s):

Yang Hou ◽

Steven Li

Keyword(s):

Wavelet Analysis ◽

Empirical Analysis ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Performance

Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽

10.2469/dig.v31.n1.832 ◽

2001 ◽

Vol 31 (1) ◽

pp. 71-72

Author(s):

William H. Sackley

Keyword(s):

Equity Markets ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures ◽

International Equity Markets ◽

International Equity

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽

10.2469/dig.v33.n3.1742 ◽

2003 ◽

Vol 33 (3) ◽

pp. 101-102

Author(s):

Frank T. Magiera

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures