A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length

Testing for Common Trends

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 1988 · 1.9K citations

Multiple Time Series, Economics, Engineering +14

The Hedging Performance of the New Futures Markets

Louis H. Ederington · The Journal of Finance · 1979 · 1.4K citations

Economics, Financial Economics, Asset Pricing +6

Options, Futures, and Other Derivative Securities.

Gerald D. Gay, John Hull · The Journal of Finance · 1990 · 1.2K citations

Option Pricing, Pricing Derivative Securities, Financial Economics +12

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

Craig S. Hakkio, Mark Rush · Journal of International Money and Finance · 1989 · 417 citations

Global Markets, Market Microstructure, Economics +10

Estimating time‐varying optimal hedge ratios on futures markets

Robert J. Myers · Journal of Futures Markets · 1991 · 224 citations

Financial Economics, Asset Pricing, Hedge Fund +5