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 …

Early analysis of Bitcoin concluded that it did not meet the economic conditions to be
classified as a currency. Since this conclusion, interest in Bitcoin has increased …

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 …

Abstract Autoregressive Conditional Heteroscedasticity (ARCH) models have successfully
been employed in order to predict asset return volatility. Predicting volatility is of great …

BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for
leverage trading and hedging. Using minute‐by‐minute data, we examine its price discovery …

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

There is widespread evidence that the volatility of stock returns displays an asymmetric
response to good and bad news. This article considers the impact of asymmetry on time …

This paper estimates constant and dynamic hedge ratios in the New York Mercantile
Exchange oil futures markets and examines their hedging performance. We also introduce a …

In this paper, we investigate both constant and time-varying hedge ratios in terms of the
effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and …