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A Risk-Return Measure of Hedging Effectiveness

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Author Info
Howard, Charles T.
D'Antonio, Louis J.
Abstract

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 19 (1984)
Issue (Month): 01 (March)
Pages: 101-112
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:19:y:1984:i:01:p:101-112_01

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  1. Christian Dunis, Pierre Lequeux, 2000. "Intraday data and hedging efficiency in interest spread trading," European Journal of Finance, Taylor and Francis Journals, vol. 6(4), pages 332-352, December. [Downloadable!] (restricted)
  2. Christos Floros & Dimitrios V. Vougas, 2004. "Hedge ratios in Greek stock index futures market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1125-1136, October. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Commodity Futures Contract Viability: A Multidisciplinary Approach," Finance 9905002, EconWPA. [Downloadable!]
  5. Jong, A. de & Roon, F. de & Veld, C., 1995. "An empirical analysis of the hedging effectiveness of currency futures," Discussion Paper 119, Tilburg University, Center for Economic Research. [Downloadable!]
  6. Yoshiki Kago & Charles Ward, 2008. "Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market," Real Estate & Planning Working Papers rep-wp2008-05, Henley Business School, Reading University. [Downloadable!]
  7. Scott McCarthy, 2003. "Hedging versus not hedging: strategies for managing foreign exchange transaction exposure," School of Economics and Finance Discussion Papers and Working Papers Series 162, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  8. Viviana Fernández, 2007. "Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement," Documentos de Trabajo 242, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
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