Mean reversion and basis dynamics

Article Abstract:

Partial adjustments of the mean revision in stock index futures were shown to have an impact.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Statistical Data Included, Tests, problems and exercises, Autocorrelation (Statistics), Statistics (Mathematics)

---

Futures hedging using dynamic models of the variance/covariance structure

Article Abstract:

Generalized models of variance/covariance structure are used here to estimate dynamic futures-hedging ratios across seven markets. The resultant strategies are then compared against naive and static strategies, both in-sample and out-of-sample.

Science & research, Thailand, Labor Distribution by Employer, Models, Analysis, Statistics, Analysis of variance, Analysis of covariance, Covariance analysis

---

Hedging ratios and cash/futures market linkages

Article Abstract:

The application of estimators to stock index futures hedging ratios is shown analytically. In the presence of cash-futures market linkages, thin trading adjustments provide biased hedging ratios. This finding is strengthened by simulations, which also reveal that adjustments based on Stoll-Whaley are better than the Scholes-Williams adjustments in terms of the mean square error. Empirical data derived from UK futures also agree with the simulation and analytic data.

Securities & Commodities Exchanges, Securities and Commodity Exchanges, Security and commodity exchanges

Similar abstracts:

• Abstracts: How the resource-based and the dynamic capability views of the firm inform corporate-level strategy. Value creation versus value capture: Towards a coherent definition of value in strategy
• Abstracts: Generic manufacturing strategies: an empirical test of two configurational typologies. Generic manufacturing strategies and plant performance
• Abstracts: Network concerns are expected to post strong earnings in midst of market split. Cisco is expected to post lower earnings
• Abstracts: Micron executives are set to visit Hynix, explore aliance with Korean chip maker. Transmeta's latest setback stirs caution before its IPO
• Abstracts: As more buyers suffer from upgrade fatigue, PC sales are falling; manufacturers slash R&D in relentless price war, and innovation is victim

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.