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An adaptive long memory conditional correlation model
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Journal of Empirical Finance |
2024 |
A |
|
Forecasting variance swap payoffs
|
The Journal of Futures Markets |
2022 |
A |
|
The lead of oil price rises on US equity market beliefs and preferences
|
The Journal of Futures Markets |
2021 |
A |
|
Multivariate models with long memory dependence in conditional correlation and volatility
|
Journal of Empirical Finance |
2018 |
A |
|
Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
|
Journal of Banking & Finance |
2015 |
A* |
|
Currency Overlay for Global Equity Portfolios: Cross-Hedging and Base Currency
|
The Journal of Futures Markets |
2015 |
A |
|
Will tighter futures price limits decrease hedge effectiveness?
|
Journal of Banking & Finance |
2012 |
A* |
|
Dynamic currency hedging for international stock portfolios
|
Review of Futures Markets |
2012 |
B |
|
A comparison of developed and emerging equity market return volatility at different time scales
|
Managerial Finance |
2011 |
B |
|
Exchange traded contracts for difference: Design, pricing, and effects
|
The Journal of Futures Markets |
2010 |
A |
|
Influence diagnostics for multivariate GARCH processes
|
Journal of Time Series Analysis |
2010 |
A |
|
Impact of capital control measures on the Malaysian stock market: A multiresolution analysis
|
International Journal of Managerial Finance |
2010 |
A |
|
Estimation of time varying skewness and kurtosis with an application to value at risk
|
Studies in Nonlinear Dynamics & Econometrics |
2010 |
A |
|
Wavelet estimation of asymmetric hedge ratios: Does econometric sophistication boost hedging effectiveness?
|
International Journal of Business and Economics |
2008 |
B |
|
Basis convergence and long memory in volatility when dynamic hedging with futures
|
Journal of Financial and Quantitative Analysis |
2007 |
A* |
|
A Critique of Minimum Variance Hedging
|
Accounting Research Journal |
2005 |
B |