The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*

Wavelet methods for time series analysis

2001 • 2,657 citations

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

1993 • 1,339 citations

The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

1996 • 476 citations

Wavelets in Economics and Finance: Past and Future

2002 • 375 citations

The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income

1998 • 367 citations

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

1994 • 322 citations

The Effect of Asymmetries on Optimal Hedge Ratios

2002 • 262 citations

Scaling properties of foreign exchange volatility

2001 • 197 citations

The analysis of foreign exchange data using waveform dictionaries

1997 • 194 citations

The discrete wavelet transform and the scale analysis of the surface properties of sea ice

1996 • 150 citations

Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach

2002 • 109 citations

Estimating multiperiod hedge ratios in cointegrated markets

1993 • 99 citations

Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges

1992 • 83 citations

Systematic risk and time scales

2002 • 81 citations

Multiperiod hedging in the presence of conditional heteroskedasticity

1994 • 78 citations

A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length

1995 • 71 citations

Untitled

1997 • 65 citations

Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation

1991 • 39 citations

Multiperiod hedging in the presence of stochastic volatility

2001 • 36 citations

Untitled

1997 • 29 citations

Multiperiod hedging with futures contracts

2002 • 25 citations

Contemporary and long-run correlations: A covariance component model and studies on the S&P 500 cash and futures markets

1999 • 16 citations