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Applied Economics Volume 42, 2010 - Issue 11
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Original Articles

Dynamic hedge ratio for stock index futures: application of threshold VECM

Ming-Yuan Leon Li Graduate Institute of Finance and Banking, National Cheng kung University, Taiwan, Republic of ChinaCorrespondence[email protected]
Pages 1403-1417 | Published online: 08 Jan 2008

Citations (10)

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Read on this site (4)

Jian Zhou. (2017) Index arbitrage and dynamics between REIT index futures and spot prices. Applied Economics 49:19, pages 1875-1885.
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M.-Y.L. Li. (2012) Modeling the Natural Gas Spot-futures Markets as a Regime Switching Vector Error Correction Model. Energy Sources, Part B: Economics, Planning, and Policy 7:3, pages 301-313.
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Ming-Yuan Leon Li & Shang-En Shine Yu. (2011) Do large firms overly use stock-based incentive compensation?. Journal of Applied Statistics 38:8, pages 1591-1606.
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Ming-Yuan Leon Li & Chun-Nan Chen. (2010) Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model. Journal of Applied Statistics 37:7, pages 1173-1191.
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Articles from other publishers (6)

Zili Xi, Huanxue Pan & Tao Qin. (2023) Re-examining the efficiency of the EU carbon futures market in phase Ⅱ: price discovery and intertemporal arbitrage. Frontiers in Energy Research 11.
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Sebastian Nick. (2016) The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. The Energy Journal 37:2.
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Yu-Chia Hsu & An-Pin Chen. (2014) A clustering time series model for the optimal hedge ratio decision making. Neurocomputing 138, pages 358-370.
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Ming‐Yuan Leon Li. (2008) The dynamics of the relationship between spot and futures markets under high and low variance regimes. Applied Stochastic Models in Business and Industry 25:6, pages 696-718.
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Ming-Yuan Leon Li. (2009) Could the jump diffusion technique enhance the effectiveness of futures hedging models?. Mathematics and Computers in Simulation 79:10, pages 3076-3088.
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Wei-Han Liu. (2011) Estimating Optimal Hedge Ratio and Hedge Effectiveness via Fitting the Multivariate Skewed Distributions. SSRN Electronic Journal.
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