- About this Journal ·
- Abstracting and Indexing ·
- Aims and Scope ·
- Article Processing Charges ·
- Articles in Press ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents
Volume 2012 (2012), Article ID 481856, 5 pages
Futures Hedges under Basis Heteroscedasticity
School of Business & Economics, Wilfrid Laurier University, Waterloo, ON, Canada N2L 3C5
Received 30 October 2012; Accepted 26 November 2012
Academic Editors: J. H. Haslag, T. Kuosmanen, and J. Zarnikau
Copyright © 2012 Subhankar Nayak and Jacques A. Schnabel. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- D. Duffie, Futures Markets, Prentice Hall, Englewood Cliffs, NJ, USA, 1989.
- J. C. Hull, Fundamentals of Futures and Options Markets, Prentice Hall, Englewood Cliffs, NJ, USA, 7th edition, 2011.
- R. M. Stulz, Risk Management and Derivatives, Thomson South-Western, Mason, Ohio, USA, 2003.
- H. Y. Park and A. K. Bera, “Interest-rate volatility, basis risk and heteroscedasticity in hedging mortgages,” Real Estate Economics, vol. 15, no. 2, pp. 79–97, 1987.
- M. Kalimipalli and R. Susmel, “Regime-switching stochastic volatility and short-term interest rates,” Journal of Empirical Finance, vol. 11, no. 3, pp. 309–329, 2004.
- J. O. Grabbe, International Financial Markets, Prentice Hall, Englewood Cliffs, NJ, USA, 3rd edition, 1996.
- J. E. Ingersoll, Theory of Financial Decision Making, Rowman & Littlefield, Totowa, NJ, USA, 1987.