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Interest Rate Hedging: An Empirical Test Of Alternative Strategies

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  • Gerald D. Gay
  • Robert W. Kolb
  • Raymond Chiang

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  • Gerald D. Gay & Robert W. Kolb & Raymond Chiang, 1983. "Interest Rate Hedging: An Empirical Test Of Alternative Strategies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 187-197, September.
    • Handle: RePEc:bla:jfnres:v:6:y:1983:i:3:p:187-197
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1983.tb00327.x
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    References listed on IDEAS

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    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Robert W. Kolb & Gerald D. Gay & James V. Jordan, 1982. "Are there arbitrage opportunities in the treasury‐bond futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(3), pages 217-229, September.
    3. Robert W. Kolb & Raymond Chiang, 1982. "Duration, Immunization, And Hedging With Interest Rate Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 161-170, June.
    4. Franckle, Charles T, 1980. "The Hedging Performance of the New Futures Markets: Comment," Journal of Finance, American Finance Association, vol. 35(5), pages 1273-1279, December.
    5. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-1045, December.
    6. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    7. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
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    Cited by:

    1. Roberto Blanco, 1992. "Coberturas de carteras de bonos con futuros financieros: evidencia en el caso español," Investigaciones Economicas, Fundación SEPI, vol. 16(3), pages 463-487, September.
    2. Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.

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