Donald D. Lien

University of Texas at San Antonio - College of Business - Department of Economics

Professor

6900 North Loop 1604 West

San Antonio, TX 78249

United States

  • University of Texas at San Antonio - College of Business - Department of Economics

    • Email
    • Tel: 210-458-4313
    • Fax: 210-458-4308
SCHOLARLY PAPERS

46

DOWNLOADS
Rank 8,785

SSRN RANKINGS

Top 8,785

in Total Papers Downloads

9,195

SSRN CITATIONS
Rank 8,721

SSRN RANKINGS

Top 8,721

in Total Papers Citations

101

CROSSREF CITATIONS

77

Scholarly Papers (46)

Actions:
Email selected abstracts
1.

Some Recent Developments in Futures Hedging

Number of pages: 41 Posted: 28 Dec 2000
Donald D. Lien and Yiu Kuen Tse
University of Texas at San Antonio - College of Business - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 1,052 (36,890)
Citation 13

Abstract:

Loading...

2.

Exchange Traded Funds, Liquidity, and Market Volatility

Applied Financial Economics (2013)
Number of pages: 37 Posted: 29 Sep 2012 Last Revised: 13 Jan 2017
Timothy A. Krause, Sina Ehsani and Donald D. Lien
Penn State Behrend, Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 840 (50,394)
Citation 13

Abstract:

Loading...

Exchange Traded Fund, ETF, Volatility Spillover, Liquidity, Volume

3.

Cash Settlement and Price Discovery in Futures Markets

Downloads 703 (63,999)
Citation 14

Cash Settlement and Price Discovery in Futures Markets

Number of pages: 23 Posted: 18 Aug 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 703 (63,095)
Citation 14

Abstract:

Loading...

Price Discovery Function, Futures Markets, Geweke Measures, Cash Settlement

Cash Settlement and Price Discovery in Futures Markets

Quarterly Journal of Business and Economics, Vol. 40, No. 2, pp. 65-77
Posted: 17 Dec 2003
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Price Discovery Function, Futures Markets, Geweke Measures, Cash Settlement

4.

Spot-Futures Spread, Time-Varying Correlation, and Hedging with Currency Futures

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 22 Feb 2006
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 676 (67,314)

Abstract:

Loading...

Asymmetric effects of spot-futures spread, Dynamic conditional correlation, Currency futures hedging, GARCH specification

5.

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Downloads 617 (75,645)
Citation 1

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Number of pages: 21 Posted: 23 Mar 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 617 (74,720)
Citation 1

Abstract:

Loading...

Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Posted: 30 Jul 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

6.

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Number of pages: 38 Posted: 09 Apr 2021 Last Revised: 19 Aug 2021
Ivan Indriawan, Donald D. Lien, Zhuzhu Wen and Yahua Xu
University of Adelaide, University of Texas at San Antonio - College of Business - Department of Economics, PBCSF, Tsinghua University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 615 (75,802)

Abstract:

Loading...

Crude oil market, EIA announcements, Intraday momentum, Return predictability

7.

Capital Controls and Foreign Direct Investment

Downloads 435 (115,641)
Citation 6

Capital Controls and Foreign Direct Investment

Number of pages: 25 Posted: 14 Jul 2003
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 435 (114,449)
Citation 6

Abstract:

Loading...

Capital controls, capital flows, developing countries, foreign direct investment, liberalization

Capital Controls and Foreign Direct Investment

Posted: 20 Mar 2004
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Capital controls, capital flows, current account restrictions, developing countries, foreign direct investment, liberalization

8.

Hedging with Chinese Metal Futures

Number of pages: 32 Posted: 13 Mar 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 415 (122,546)

Abstract:

Loading...

Time-varying Variance and Correlation, Long Memory in Volatility, Dynamic Hedging, and Chinese Metal Futures Markets

9.

Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets

Number of pages: 27 Posted: 18 Feb 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 406 (125,323)
Citation 14

Abstract:

Loading...

Dynamic hedging strategy, Asymmetric basis effect, Time-varying volatility and correlation of spot and futures returns

10.

Are Options Redundant? Further Evidence from Currency Futures Markets

Number of pages: 23 Posted: 27 May 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 380 (135,103)

Abstract:

Loading...

Currency futures options, Geweke measures, Market efficiency

11.

Commodity Financialization and Herd Behavior in Commodity Futures Markets

International Review of Financial Analysis, Vol. 39, 2015
Number of pages: 28 Posted: 17 May 2013 Last Revised: 28 Apr 2015
Riza Demirer, Hsiang-Tai Lee and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, National Chi Nan University - Department of Finance and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 289 (181,178)
Citation 2

Abstract:

Loading...

herd behavior, commodity financialization, return dispersion, Markov Switching

12.

Futures Hedging Under Mark-to-Market Risk

Journal of Futures Markets, Vol. 23, No. 4, 2003
Number of pages: 16 Posted: 17 Oct 2007
Anlong Li and Donald D. Lien
Hull Tactical Funds and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 275 (190,545)

Abstract:

Loading...

Futures, Hedging, Marking-to-market

13.

Measuring the Effect of Sexual Orientation on Income: Evidence of Discrimination?

Contemporary Economic Policy, Vol. 20, pp. 394-414, 2002
Number of pages: 21 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 256 (204,736)
Citation 1

Abstract:

Loading...

GBL, behavioral economics, gay, lesbian, civil rights, logit, logistic, discrete dependent variables, limited dependent variables, misreporting, nonresponse, mis-reporting, non-response

14.

Designing Information Markets for Decision Making

AEI-Brookings Joint Center Working Paper No. 05-23
Number of pages: 48 Posted: 08 Dec 2005
Paul C. Tetlock, Robert W. Hahn and Donald D. Lien
Columbia Business School - Finance, Technology Policy Institute and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 244 (214,576)
Citation 1

Abstract:

Loading...

information markets, decision markets

15.

Democracy, Foreign Direct Investment and Natural Resources

Number of pages: 39 Posted: 18 Dec 2010
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 227 (230,084)
Citation 34

Abstract:

Loading...

Democracy, Foreign Direct Investment, Natural Resources

16.

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Downloads 192 (268,458)
Citation 3

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Number of pages: 25 Posted: 16 Apr 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 192 (268,050)
Citation 3

Abstract:

Loading...

Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Posted: 30 Jul 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

17.

The Effects of China's Split-Share Reform on Firms’ Capital Structure Choice

Applied Economics, Volume 48, 2016 - Issue 27
Number of pages: 44 Posted: 23 Oct 2015 Last Revised: 06 Nov 2016
Liang Guo, Donald D. Lien and Ya Dai
California State University, San Bernardino, University of Texas at San Antonio - College of Business - Department of Economics and Analytic Focus LLC
Downloads 185 (278,609)
Citation 2

Abstract:

Loading...

Split-share reform, Capital structure, Trade-off theory, Pecking order theory, Dynamic target adjustment models

18.

Global Financial Crisis, Funding Constraints, and Liquidity of VIX Futures

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 59 Posted: 29 Jul 2023 Last Revised: 31 Jul 2023
Junmao Chiu, Donald D. Lien and Wei-Che Tsai
National Sun Yat-sen University - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics and Oregon State University
Downloads 166 (304,659)

Abstract:

Loading...

VIX; Liquidity; Global financial crisis; Funding constraints

19.

Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets

Number of pages: 35 Posted: 17 May 2009 Last Revised: 21 Mar 2012
Hooi Hooi Lean, Donald D. Lien and Wing-Keung Wong
Universiti Sains Malaysia, University of Texas at San Antonio - College of Business - Department of Economics and Asia University, Department of Finance
Downloads 165 (306,171)
Citation 4

Abstract:

Loading...

stochastic dominance, index futures, arbitrage opportunity, Malaysian

20.

Herding and Flash Events: Evidence From the 2010 Flash Crash

Finance Research Letters, 2019
Number of pages: 9 Posted: 02 Nov 2018 Last Revised: 28 Dec 2018
Riza Demirer, Karyl Leggio and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, Loyola University Maryland and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 149 (333,521)
Citation 2

Abstract:

Loading...

Herding, Flash Crash

21.

The Effect of Structural Breaks and Long Memory on Currency Hedging

Journal of Futures Markets, Forthcoming
Number of pages: 34 Posted: 18 Jan 2010
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 130 (373,082)

Abstract:

Loading...

Structural breaks, Short and long memory GARCH models, Dynamic hedging strategy, Currency futures

22.

A Note on Minimum Riskiness Hedge Ratio

Finance Research Letters, Vol. 15, 2015
Number of pages: 11 Posted: 17 Aug 2014 Last Revised: 13 Jan 2017
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 112 (414,214)
Citation 1

Abstract:

Loading...

riskiness, economic index of riskiness, operational measure of riskiness, hedge ratio

23.

Convergence to Efficiency in FTSE-100 Futures Market

Number of pages: 32 Posted: 25 Jan 2011
Ju Xiang and Donald D. Lien
Central University of Finance and Economics (CUFE) and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 98 (455,043)

Abstract:

Loading...

EMH, FTSE, effeciency, futures market, puzzle, wavelet

24.

Bad Volatility Is Not Always Bad: Evidence from the Commodity Markets

Number of pages: 45 Posted: 10 Jul 2019
Ivan Indriawan, Donald D. Lien, Tai-Yong Roh and Yahua Xu
University of Adelaide, University of Texas at San Antonio - College of Business - Department of Economics, Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 94 (467,568)
Citation 1

Abstract:

Loading...

Commodity markets; Upside and downside variance risk premiums; Asymmetric risk; Prediction

25.

Online or Face-to-Face? Competition among MOOC and Regular Education Providers

Number of pages: 44 Posted: 16 Feb 2022
Haipeng Han, Donald D. Lien, Jaimie W. Lien and Jie Zheng
Tsinghua University - Tsinghua University School of Economics and Management, University of Texas at San Antonio - College of Business - Department of Economics, Shandong University - Center for Economic Research and Tsinghua University - School of Economics & Management
Downloads 86 (494,286)
Citation 1

Abstract:

Loading...

online education, MOOC, universities, competition, Salop model

26.

Effects of Passive Intensity on Aggregate Price Dynamics

Number of pages: 39 Posted: 17 Aug 2014 Last Revised: 09 Jun 2015
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 77 (527,785)

Abstract:

Loading...

passive investment, price dynamics, comovement, synchronism, systematic volatility, idiosyncratic volatility

27.

Does Society Benefit from Investor Overconfidence in the Ability of Financial Market Experts?

Journal of Economic Behavior and Organization, Vol. 58, pp. 95-116, 2005
Number of pages: 22 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 72 (548,322)

Abstract:

Loading...

Overconfidence, Heterogeneous beliefs, Disagreement, Financial markets, Expert, Trust

28.

Dynamic Correlation: A Tool for Hedging House Price Risk?

Journal of Real Estate Portfolio Management, Vol. 13, No. 1, pp. 17-28, 2007
Number of pages: 12 Posted: 15 Oct 2010
Nathan Berg, Anthony Yanxiang Gu and Donald D. Lien
University of Otago, Department of Economics, SUNY at Geneseo - John Wiley Jones School of Business and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 67 (574,312)
Citation 1

Abstract:

Loading...

Real Estate, Time-Varying Risk, Time-Dependent Variance, Risk Premium, Risk Aversion, Housing Risk, Portfolio Choice, Ecological Rationality, Behavioral Economics, Bounded Rationality

29.

Same-Sex Sexual Behavior: U.S. Frequency Estimates from Survey Data with Simultaneous Misreporting and Non-Response

Applied Economics, Vol. 38, No. 7, pp. 757-769, 2006
Number of pages: 13 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 53 (639,008)

Abstract:

Loading...

Homosexual, Heterosexual, Sexual Orientation, Gay, Lesbian, Economic Demography, Discrete Dependent Variable, Augmented Logit, Mis-reporting, Nonresponse

30.

Tracking-Error Decision Rules and Accumulated Wealth

Applied Mathematical Finance, Vol. 10, No. 2, pp. 91-119, 2003
Number of pages: 30 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 48 (667,182)
Citation 1

Abstract:

Loading...

Behavioral Economics, Normative Economics, Bounded Rationality, Ecological Rationality, Agent-Based, Computational Economics, Choice Under Uncertainty, Third Moment, Risk, Procedural Rationality

31.

Sexual Orientation and Self-Reported Lying

Review of Economics of the Household, Vol. 1, No. 7, pp. 83-104
Number of pages: 22 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 43 (698,040)

Abstract:

Loading...

Deception, Sexual orientation, Gay, Misreporting, Non-response

32.

The Role of Uncertainty Measures on Bitcoin

Number of pages: 16 Posted: 28 Jul 2023
Yuxuan Chen, Huimin Chung and Donald D. Lien
National Yang Ming Chiao Tung University, National Yang Ming Chiao Tung University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 28 (807,818)

Abstract:

Loading...

uncertainty measurement, Bitcoin return, Bitcoin volatility, TVP-VAR, connectedness

33.

Does the Confucius Institute Network Impact Cultural Distance?: A Panel Data Analysis of Cross-Border Flows in and Out of China

Ghosh, Sucharita, Lien, Donald and Steven Yamarik, 2017, "Does the Confucius Institute Network Impact Cultural Distance? A Panel Data Analysis of Cross-Border Flows in and out of China," Asian Economic Journal, vol 31(3), pages 299-323.
Posted: 26 Aug 2018
Sucharita Ghosh, Donald D. Lien and Steven Yamarik
The University of Akron, University of Texas at San Antonio - College of Business - Department of Economics and California State University, Long Beach - Department of Economics

Abstract:

Loading...

Confucius Institute, China, Culture, Tourism, International Trade, Foreign Investment, Portfolio Equity

34.

Does the Confucius Institute Impact International Travel to China?: A Panel Data Analysis

Lien, Donald, Sucharita Ghosh and Steven Yamarik, 2014. “Does the Confucius Institute Impact International Travel to China? A Panel Data Analysis,” Applied Economics 46(17), pp 1985-1995.
Posted: 26 Aug 2018
Donald D. Lien, Sucharita Ghosh and Steven Yamarik
University of Texas at San Antonio - College of Business - Department of Economics, The University of Akron and California State University, Long Beach - Department of Economics

Abstract:

Loading...

International Tourism, Confucius Institute, China

35.

Implied Volatility Dynamics Among Exchange-Traded Funds and Their Largest Component Stocks

Journal of Derivatives, Vol. 22, No. 1, 2014, pp. 7-26
Posted: 12 May 2016
Timothy A. Krause and Donald D. Lien
Penn State Behrend and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

ETFs, implied volatility, options SPDR industry sectors, spillovers

36.

Borderplex Menu Evidence for the Law of One Price: A Convergence Approach

Applied Economics Letters, Vol. 16, No. 17, 2009, DOI: 10.1080/13504850701675516
Posted: 27 Feb 2016
Yong Bao, Thomas M. Fullerton and Donald D. Lien
Purdue University, University of Texas at El Paso - College of Business Administration and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

37.

Production and Hedging with Optimism and Pessimism under Ambiguity

International Review of Economics & Finance, Vol. 50, 2017
Posted: 08 Aug 2014 Last Revised: 30 Apr 2017
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou (IBSS)

Abstract:

Loading...

Price Ambiguity, Optimism, Pessimism, Production, Hedging

38.

Production and Anticipatory Hedging Under Time-Inconsistent Preferences

Journal of Futures Markets, Forthcoming
Posted: 10 Feb 2014 Last Revised: 05 Jan 2015
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou (IBSS)

Abstract:

Loading...

Hyperbolic Discounting, Anticipatory Hedging Timing, Futures, Options

39.

Time-Inconsistent Investment, Financial Constraints, and Cash Flow Hedging

International Review of Financial Analysis, Vol. 35, 2014
Posted: 11 Dec 2013 Last Revised: 05 Jan 2015
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou (IBSS)

Abstract:

Loading...

Time-Inconsistent Preferences; Investment Timing; Financial Constraints; Cash Flow Hedging

40.

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013, FIRN Research Paper
Posted: 11 May 2013
Donald D. Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
University of Texas at San Antonio - College of Business - Department of Economics, Shanghai Jiao Tong University (SJTU) - Aetna School of Management, UNSW Australia Business School, School of Banking and Finance and Shanghai Jiao Tong University (SJTU)

Abstract:

Loading...

Dynamic dependences, Currencies in Asian Pacific

41.

Optimal Managerial Hedging and Contracting with Self-Esteem Concerns

International Review of Economics & Finance, Forthcoming
Posted: 09 Apr 2013 Last Revised: 04 Jan 2015
Chongwoo Choe, Donald D. Lien and Chia-Feng (Jeffrey) Yu
Monash University - Department of Economics, University of Texas at San Antonio - College of Business - Department of Economics and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou (IBSS)

Abstract:

Loading...

Managerial Hedging, Executive Compensation, Self-Esteem, Agency Cost

42.

Confucius Institute Effects on China's Trade and FDI: Isn't it Delightful When Folks Afar Study Hanyu?

International Review of Economics & Finance, Vol. 21, No. 1, 2012
Posted: 06 Jul 2011
Donald D. Lien, Chang Hoon Oh and W. Travis Selmier
University of Texas at San Antonio - College of Business - Department of Economics, University of Kansas, School of Business and Indiana University Bloomington - Department of Political Science

Abstract:

Loading...

Confucius Institute, trade, foreign direct investment, China, soft power

43.

The Value of Planned Death

Journal of Socio-Economics, Vol. 39, No. 6, 2010
Posted: 07 Jul 2010 Last Revised: 29 Aug 2015
Donald D. Lien and Leo H. Chan
University of Texas at San Antonio - College of Business - Department of Economics and Woodbury School of Business, Utah Valley University

Abstract:

Loading...

Euthanasia, physician assisted suicide, planned death

44.

Availability and Settlement of Individual Stock Futures and Options Expiration Effects: Evidence from High-Frequency Data

Quarterly Review of Economics and Finance, Forthcoming
Posted: 24 Jan 2005
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance

Abstract:

Loading...

Individual stock futures, settlement method of futures contract, expiration effects

45.

The Use and Abuse of the Hedging Effectiveness Measure

Posted: 23 Dec 2004
Donald D. Lien
University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Hedging effectiveness, OLS hedge ratio, unconditional variance, conditional variance

46.

Cash Settlement and Futures Price Volatility: Evidence from Options Data

Forthcoming in Advances in Quantitative Analysis of Finance & Accounting
Posted: 01 Aug 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

Cash Settlement, Implied Volatility, Live/Lean Hog Futures Options, GARCH Models