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The use and abuse of the hedging effectiveness measure

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  • Lien, Donald
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4F8TG5K-1/2/44340d1985395c0f6831e0beb426e439
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 14 (2005)
    Issue (Month): 2 ()
    Pages: 277-282

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    Handle: RePEc:eee:finana:v:14:y:2005:i:2:p:277-282

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    Web page: http://www.elsevier.com/locate/inca/620166

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    References

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    1. 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.
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    Cited by:
    1. John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
    2. 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.
    3. Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    4. Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series CARF-F-187, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Skinner, Frank S. & Nuri, Julinda, 2007. "Hedging emerging market bonds and the rise of the credit default swap," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 452-470.
    6. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
    7. Coakley, Jerry & Dollery, Jian & Kellard, Neil, 2008. "The role of long memory in hedging effectiveness," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3075-3082, February.
    8. Lien, Donald, 2007. "Statistical properties of post-sample hedging effectiveness," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 293-300.
    9. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    10. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2012. "Effectiveness of hedging within the high price volatility context," Working Papers 142546, Scottish Agricultural College, Land Economy Research Group.
    11. Lien, Donald & Shrestha, Keshab, 2008. "Hedging effectiveness comparisons: A note," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 391-396.
    12. Lien, Donald, 2009. "A note on the hedging effectiveness of GARCH models," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 110-112, January.

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