This paper presents a review of different theoretical approaches to the optimal futures hedge
ratios. These approaches are based on minimum variance, mean-variance, expected utility …

The use of futures contracts as a hedging instrument has been the focus of much research.
At the theoretical level, an optimal hedge strategy is traditionally based on the expected …

This study uses bibliometrics to present a retrospective on the Journal of Futures Markets
(JFM) on its 40th anniversary. The Journal's annual number of publications and citations …

This article presents a general framework for identifying and modeling the joint-tail
distribution based on multivariate extreme value theories. We argue that the multivariate …

We introduce a Lagrange Multiplier (LM) test for the constant-correlation hypothesis in a
multivariate GARCH model. The test examines the restrictions imposed on a model which …

This paper compares the performances of the hedge ratios estimated from the OLS (ordinary
least squares) method and the constant-correlation VGARCH (vector generalized …

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …

Previous literature on price discovery in stock index futures and spot markets neglects the
role of different investor groups. This study relates time‐varying spot‐futures linkages …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This paper takes a new empirical look at the long-standing question of the effect of
exchange rate volatility on international trade flows by studying the case of Taiwan's exports …