donald-lien documents

Forecasting the Nikkei spot index with fractional cointegration
Documents Forecasting the Nikkei spot index with fractional cointegration
Uncertain tax rules and futures hedging
Documents Uncertain tax rules and futures hedging
Delivery risk and the hedging role of options
Documents Delivery risk and the hedging role of options
A note on the relationships between some risk-adjusted performance measures
Documents A note on the relationships between some risk-adjusted performance measures
Disappointment aversion equilibrium in a futures market
Documents Disappointment aversion equilibrium in a futures market
Futures hedging under mark-to-market risk
Documents Futures hedging under mark-to-market risk
The effect of liquidity constraints on futures hedging
Documents The effect of liquidity constraints on futures hedging
Options expiration effects and the role of individual share futures contracts
Documents Options expiration effects and the role of individual share futures contracts
A note on price futures versus revenue futures contracts
Documents A note on price futures versus revenue futures contracts
A Note on Loss Aversion and Futures Hedging
Documents A Note on Loss Aversion and Futures Hedging
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Documents An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Optimal futures heading: Quadratic versus exponential utility functions
Documents Optimal futures heading: Quadratic versus exponential utility functions
Estimating the optimal hedge ratio with focus information criterion
Documents Estimating the optimal hedge ratio with focus information criterion
A note on the superiority of the OLS hedge ratio
Documents A note on the superiority of the OLS hedge ratio
Estimation bias of futures hedging performance: A note
Documents Estimation bias of futures hedging performance: A note
Spot-futures spread, time-varying correlation, and hedging with currency futures
Documents Spot-futures spread, time-varying correlation, and hedging with currency futures
The effects of structural breaks and long memory on currency hedging
Documents The effects of structural breaks and long memory on currency hedging
A note on utility-based futures hedging performance measure
Documents A note on utility-based futures hedging performance measure
Futures Hedging Under Disappointment Aversion
Documents Futures Hedging Under Disappointment Aversion
A theoretical comparison of composite index futures contracts
Documents A theoretical comparison of composite index futures contracts
Multiperiod hedging in the presence of conditional heteroskedasticity
Documents Multiperiod hedging in the presence of conditional heteroskedasticity