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

Testing for Common Trends

1988 • 1,998 citations

The Hedging Performance of the New Futures Markets

1979 • 1,338 citations

Options, Futures, and Other Derivative Securities.

1990 • 1,297 citations

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

1989 • 416 citations

Estimating time‐varying optimal hedge ratios on futures markets

1991 • 233 citations

Cointegration and Error Correction Mechanisms

1989 • 179 citations

Futures market efficiency: Evidence from cointegration tests

1991 • 175 citations

A cointegration test for market efficiency

1991 • 153 citations

Two‐step testing procedure for price discovery role of futures prices

1992 • 136 citations

THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES

1982 • 121 citations

Estimating multiperiod hedge ratios in cointegrated markets

1993 • 99 citations

The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures

1991 • 85 citations

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

1992 • 83 citations

Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Autoregressions

1990 • 82 citations

A note on the hedging effectiveness of foreign currency futures

1981 • 78 citations

The hedging effectiveness of currency futures markets

1981 • 57 citations

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

1991 • 39 citations

Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies

1991 • 35 citations

Examining the validity of a test of futures market efficiency: A comment

1990 • 33 citations