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Selectively hedging the Euro

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  • Simpson, Marc W.
  • Dania, Akash

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 16 (2006)
Issue (Month): 1 (February)
Pages: 27-42

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Handle: RePEc:eee:mulfin:v:16:y:2006:i:1:p:27-42

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Web page: http://www.elsevier.com/locate/mulfin

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References

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  1. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  2. Eaker, Mark & Grant, Dwight & Woodard, Nelson, 1991. "International diversification and hedging: A Japanese and U.S. perspective," Journal of Economics and Business, Elsevier, vol. 43(4), pages 363-374, November.
  3. Simpson, Marc W., 2004. "Selectively hedging the US dollar with foreign exchange futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 75-86, February.
  4. Eun, Cheol S. & Resnick, Bruce G., 1997. "International equity investment with selective hedging strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 21-42, April.
  5. Taylor, Mark P, 1987. "Covered Interest Parity: A High-Frequency, High-Quality Data Study," Economica, London School of Economics and Political Science, vol. 54(216), pages 429-38, November.
  6. Clinton, Kevin, 1988. "Transactions Costs and Covered Interest Arbitrage: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 358-70, April.
  7. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
  8. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, October.
  9. Cheol S. Eun & Bruce G. Resnick, 1994. "International Diversification of Investment Portfolios: U.S. and Japanese Perspectives," Management Science, INFORMS, vol. 40(1), pages 140-161, January.
  10. Patricia S. Pollard, 2001. "The creation of the Euro and the role of the dollar in international markets," Review, Federal Reserve Bank of St. Louis, issue May, pages 17-36.
  11. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
  12. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
  13. Morey, Matthew R. & Simpson, Marc W., 2001. "To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 213-223, April.
  14. Frenkel, Jacob A & Levich, Richard M, 1977. "Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods," Journal of Political Economy, University of Chicago Press, vol. 85(6), pages 1209-26, December.
  15. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, October.
  16. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
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