The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 13 (2004)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620166
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Figlewski, Stephen, 1984. " Hedging Performance and Basis Risk in Stock Index Futures," Journal of Finance, American Finance Association, vol. 39(3), pages 657-69, July.
- Stephen G. Cecchetti & Robert E. Cumby & Stephen Figlewski, 1986.
"Estimation of the optimal futures hedge,"
Research Working Paper
86-10, Federal Reserve Bank of Kansas City.
- Wilkinson, Katherine J & Rose, Lawrence C & Young, Martin R, 1999. "Comparing the Effectiveness of Traditional and Time Varying Hedge Ratios Using New Zealand and Australian Debt Futures Contracts," The Financial Review, Eastern Finance Association, vol. 34(3), pages 79-94, August.
- Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March.
- Ghosh, Asim, 1995. "The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model," The Financial Review, Eastern Finance Association, vol. 30(3), pages 567-81, August.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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