The interactions between the Mib30 stock market index and its future contract are examined. Using daily data for the 1994–2002 period, it is found that the cost-of-carry model holds as an equilibrium relationship between spot and futures prices. Deviations from equilibrium are corrected by movements in the spot market, but cross-market dynamics are also important in the short run. We model the time varying volatility of daily returns’ as an autoregressive conditional heteroscedastic process; this model used to estimate minimum-variance hedge ratios. In- and out-ofsample comparisons with static hedging show that, by carefully choosing the ARCH specification, a significant improvement in variance reduction can be achieved.
The Mib30 index and futures relationship: econometric analysis and implications for hedging / Pattarin, Francesco; Ferretti, Riccardo. - In: APPLIED FINANCIAL ECONOMICS. - ISSN 0960-3107. - STAMPA. - 14(2004), pp. 1281-1289.
Data di pubblicazione: | 2004 |
Titolo: | The Mib30 index and futures relationship: econometric analysis and implications for hedging |
Autore/i: | Pattarin, Francesco; Ferretti, Riccardo |
Autore/i UNIMORE: | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/09603100412331313578 |
Rivista: | |
Volume: | 14 |
Pagina iniziale: | 1281 |
Pagina finale: | 1289 |
Codice identificativo Scopus: | 2-s2.0-10244250374 |
Citazione: | The Mib30 index and futures relationship: econometric analysis and implications for hedging / Pattarin, Francesco; Ferretti, Riccardo. - In: APPLIED FINANCIAL ECONOMICS. - ISSN 0960-3107. - STAMPA. - 14(2004), pp. 1281-1289. |
Tipologia | Articolo su rivista |
File in questo prodotto:
File | Descrizione | Tipologia | |
---|---|---|---|
Pattarin&Ferretti (2004).pdf | Post-print dell'autore (bozza post referaggio) | Administrator Richiedi una copia | |
Pattarin&Ferretti (2004).pdf | Post-print dell'autore (bozza post referaggio) | Administrator Richiedi una copia |

I documenti presenti in Iris Unimore sono rilasciati con licenza Creative Commons Attribuzione - Non commerciale - Non opere derivate 3.0 Italia, salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris