The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*
β Scribed by In, Francis; Kim, Sangbae
- Book ID
- 120442678
- Publisher
- University of Chicago Press
- Year
- 2006
- Tongue
- English
- Weight
- 262 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0021-9398
- DOI
- 10.1086/499138
No coin nor oath required. For personal study only.
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## Abstract In this article, optimal hedge ratios are estimated for different hedging horizons for 23 different futures contracts using wavelet analysis. The wavelet analysis is chosen to avoid the sample reduction problem faced by the conventional methods when applied to nonβoverlapping return ser
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