The aim of this survey paper is to provide an account of some of the important developments
in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a …

Most research on hedging has disregarded both the long-run cointegrating relationship
between financial assets and the dynamic nature of the distributions of the assets. This study …

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 …

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

BlVAHiAiE GARCH FUTURES: A NOTE Page 1 BlVAHiAiE GARCH ESTIMATION OI IHE
OPTIMAL HEDGE RATIOS FOR STOCK INDEX FUTURES: A NOTE TAE H. PARK L.ORNE N …

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 …

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

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 …

In a number of earlier studies it has been demonstrated that the traditional regression‐based
static approach is inappropriate for hedging with futures, with the result that a variety of …