The use and abuse of the hedging effectiveness measure
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 14 (2005)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620166
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- 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.
- Lien, Donald, 2007. "Statistical properties of post-sample hedging effectiveness," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 293-300.
- Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009.
"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies,"
CIRJE-F-684, CIRJE, Faculty of Economics, University of Tokyo.
- Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010. "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 633-647, October.
- Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009. "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Report EI 2009-38, Erasmus University Rotterdam, Econometric Institute.
- 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.
- 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.
- Cotter, John & Hanly, James, 2007.
"Hedging Effectiveness under Conditions of Asymmetry,"
3501, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," European Journal of Finance, Taylor and Francis Journals, vol. 18(2), pages 135-147, February.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Papers 1103.5411, arXiv.org.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
- Lien, Donald & Shrestha, Keshab, 2008. "Hedging effectiveness comparisons: A note," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 391-396.
- 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.
- Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
- 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.
- 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.
- Cotter, John & Hanly, Jim, 2005. "Hedging and risk aversion constraints," Open Access publications from University College Dublin urn:hdl:10197/1698, University College Dublin.
- 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.
- 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.
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