{"id":"https://openalex.org/W3087682943","doi":"https://doi.org/10.1007/s12351-020-00607-0","title":"On the stationarity of futures hedge ratios","display_name":"On the stationarity of futures hedge ratios","publication_year":2020,"publication_date":"2020-09-30","ids":{"openalex":"https://openalex.org/W3087682943","doi":"https://doi.org/10.1007/s12351-020-00607-0","mag":"3087682943"},"language":"en","primary_location":{"id":"doi:10.1007/s12351-020-00607-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s12351-020-00607-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s12351-020-00607-0.pdf","source":{"id":"https://openalex.org/S140563256","display_name":"Operational Research","issn_l":"1109-2858","issn":["1109-2858","1866-1505"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operational Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://link.springer.com/content/pdf/10.1007/s12351-020-00607-0.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5003074891","display_name":"Stavros Degiannakis","orcid":"https://orcid.org/0000-0003-1931-5494"},"institutions":[{"id":"https://openalex.org/I177144353","display_name":"Panteion University","ror":"https://ror.org/056ddyv20","country_code":"GR","type":"education","lineage":["https://openalex.org/I177144353"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"Stavros Degiannakis","raw_affiliation_strings":["Department of Economics and Regional Development, Panteion University of Social and Political Sciences, 136 Andrea Syngrou Avenue, 17671, Athens, GR, Greece"],"affiliations":[{"raw_affiliation_string":"Department of Economics and Regional Development, Panteion University of Social and Political Sciences, 136 Andrea Syngrou Avenue, 17671, Athens, GR, Greece","institution_ids":["https://openalex.org/I177144353"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5042690096","display_name":"Christos Floros","orcid":"https://orcid.org/0000-0002-1801-2929"},"institutions":[{"id":"https://openalex.org/I28710699","display_name":"Hellenic Mediterranean University","ror":"https://ror.org/039ce0m20","country_code":"GR","type":"education","lineage":["https://openalex.org/I28710699"]}],"countries":["GR"],"is_corresponding":true,"raw_author_name":"Christos Floros","raw_affiliation_strings":["Department of Accounting and Finance, Hellenic Mediterranean University, Estavromenos, 71004, Heraklion, Crete, GR, Greece"],"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, Hellenic Mediterranean University, Estavromenos, 71004, Heraklion, Crete, GR, Greece","institution_ids":["https://openalex.org/I28710699"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5057092967","display_name":"Enrique Salvador","orcid":"https://orcid.org/0000-0001-6352-3210"},"institutions":[{"id":"https://openalex.org/I10902133","display_name":"Universitat Jaume I","ror":"https://ror.org/02ws1xc11","country_code":"ES","type":"education","lineage":["https://openalex.org/I10902133"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Enrique Salvador","raw_affiliation_strings":["Finance and Accounting Department, Universitat Jaume I, Avenida Sos Baynat s/n, 12071, Castellon de la Plana, Spain"],"affiliations":[{"raw_affiliation_string":"Finance and Accounting Department, Universitat Jaume I, Avenida Sos Baynat s/n, 12071, Castellon de la Plana, Spain","institution_ids":["https://openalex.org/I10902133"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5033268090","display_name":"Dimitrios V. Vougas","orcid":null},"institutions":[{"id":"https://openalex.org/I39586589","display_name":"Swansea University","ror":"https://ror.org/053fq8t95","country_code":"GB","type":"education","lineage":["https://openalex.org/I39586589"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Dimitrios Vougas","raw_affiliation_strings":["Department of Accounting and Finance, School of Management, Swansea University, Bay Campus, Swansea, SA1 8EN, UK"],"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, School of Management, Swansea University, Bay Campus, Swansea, SA1 8EN, UK","institution_ids":["https://openalex.org/I39586589"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5042690096"],"corresponding_institution_ids":["https://openalex.org/I28710699"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.13637526,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"22","issue":"3","first_page":"2281","last_page":"2303"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.6750606298446655},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6407747864723206},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5948655009269714},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.537579357624054},{"id":"https://openalex.org/keywords/market-neutral","display_name":"Market neutral","score":0.5189028382301331},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5144767761230469},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.47062018513679504},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.46146515011787415},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.45963412523269653},{"id":"https://openalex.org/keywords/spot-contract","display_name":"Spot contract","score":0.42599767446517944},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.4149729609489441},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.18720510601997375},{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.1594855785369873}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6750606298446655},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6407747864723206},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5948655009269714},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.537579357624054},{"id":"https://openalex.org/C95982191","wikidata":"https://www.wikidata.org/wiki/Q3338729","display_name":"Market neutral","level":3,"score":0.5189028382301331},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5144767761230469},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.47062018513679504},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.46146515011787415},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.45963412523269653},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.42599767446517944},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4149729609489441},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.18720510601997375},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.1594855785369873},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s12351-020-00607-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s12351-020-00607-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s12351-020-00607-0.pdf","source":{"id":"https://openalex.org/S140563256","display_name":"Operational Research","issn_l":"1109-2858","issn":["1109-2858","1866-1505"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-020-00607-0","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s12351-020-00607-0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s12351-020-00607-0","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s12351-020-00607-0","pdf_url":"https://link.springer.com/content/pdf/10.1007/s12351-020-00607-0.pdf","source":{"id":"https://openalex.org/S140563256","display_name":"Operational Research","issn_l":"1109-2858","issn":["1109-2858","1866-1505"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operational Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3087682943.pdf","grobid_xml":"https://content.openalex.org/works/W3087682943.grobid-xml"},"referenced_works_count":58,"referenced_works":["https://openalex.org/W411134128","https://openalex.org/W1556973431","https://openalex.org/W1577300865","https://openalex.org/W1586358094","https://openalex.org/W1730996967","https://openalex.org/W1901140523","https://openalex.org/W1967365474","https://openalex.org/W1969123448","https://openalex.org/W1975163127","https://openalex.org/W1977480757","https://openalex.org/W1978574035","https://openalex.org/W1979376891","https://openalex.org/W1980082304","https://openalex.org/W1982116027","https://openalex.org/W1989732836","https://openalex.org/W1999996900","https://openalex.org/W2000847933","https://openalex.org/W2010489874","https://openalex.org/W2017097671","https://openalex.org/W2024398144","https://openalex.org/W2044533118","https://openalex.org/W2046782869","https://openalex.org/W2048675200","https://openalex.org/W2050097912","https://openalex.org/W2054477007","https://openalex.org/W2058562590","https://openalex.org/W2064148264","https://openalex.org/W2066313498","https://openalex.org/W2069294061","https://openalex.org/W2071017330","https://openalex.org/W2076812308","https://openalex.org/W2082159686","https://openalex.org/W2085254029","https://openalex.org/W2097580026","https://openalex.org/W2098027073","https://openalex.org/W2109646609","https://openalex.org/W2126239244","https://openalex.org/W2156449111","https://openalex.org/W2162654563","https://openalex.org/W2166191360","https://openalex.org/W2172043024","https://openalex.org/W2423293082","https://openalex.org/W2529407713","https://openalex.org/W2529933123","https://openalex.org/W2587862446","https://openalex.org/W2594602717","https://openalex.org/W2886080693","https://openalex.org/W2911565057","https://openalex.org/W2943012088","https://openalex.org/W2948449023","https://openalex.org/W3005634137","https://openalex.org/W3009777528","https://openalex.org/W3033359837","https://openalex.org/W3104734455","https://openalex.org/W3144698692","https://openalex.org/W3146166473","https://openalex.org/W4239076180","https://openalex.org/W4241115065"],"related_works":["https://openalex.org/W2436795137","https://openalex.org/W3209062240","https://openalex.org/W2183083713","https://openalex.org/W2106708873","https://openalex.org/W2099733712","https://openalex.org/W2161387316","https://openalex.org/W2140918863","https://openalex.org/W4242163494","https://openalex.org/W1583010609","https://openalex.org/W2985580266"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}