Role of Indian Commodity Derivatives Market in Hedging Price Risk: Estimation of Constant and Dynamic Hedge Ratio and Hedging Effectiveness

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

Social Sciences, Economics, Econometrics +15

A Capital Asset Pricing Model with Time-Varying Covariances

Tim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge · Journal of Political Economy · 1988 · 3.2K citations · Full text

Business, Economics, Finance +17

Emerging equity market volatility

Geert Bekaert, Campbell R. Harvey · Journal of Financial Economics · 1997 · 1.7K citations

Business, Economics, Finance +12

The Hedging Performance of the New Futures Markets

Louis H. Ederington · The Journal of Finance · 1979 · 1.5K citations

Business, Economics, Finance +14