A Risk-Return Measure of Hedging Effectiveness
No abstract is available for this item.
Volume (Year): 19 (1984)
Issue (Month): 01 (March)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_JFQ
- Chen, Sheng-Syan & Lee, Cheng-few & Shrestha, Keshab, 2008. "Do the pure martingale and joint normality hypotheses hold for futures contracts: Implications for the optimal hedge ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 153-174, February.
- Lioui, Abraham, 1998. "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 61-81, January.
- Mahdavi, Mahnaz, 1997. "A Bayesian approach to foreign exchange forecasting," Global Finance Journal, Elsevier, vol. 8(1), pages 15-31.
- de Jong, A. & de Roon, F.A. & Veld, C.H., 1995. "An empirical analysis of the hedging effectiveness of currency futures," Discussion Paper 1995-119, Tilburg University, Center for Economic Research.
- Viviana Fernandez, 2008.
"Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 28(2), pages 182-207, 02.
- 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.
- Chen, Sheng-Syan & Lee, Cheng-few & Shrestha, Keshab, 2003. "Futures hedge ratios: a review," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 433-465.
- Chiu, Wan-Yi, 2013. "A simple test of optimal hedging policy," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1062-1070.
- Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005. "Hedging with Foreign-listed Single Stock Futures," MPRA Paper 52372, University Library of Munich, Germany.
- 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.
- Tong, Wilson H. S., 1996. "An examination of dynamic hedging," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 19-35, February.
- Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Commodity Futures Contract Viability: A Multidisciplinary Approach," Finance 9905002, EconWPA.
- 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.
- Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
- Christian Dunis & Pierre Lequeux, 2000. "Intraday data and hedging efficiency in interest spread trading," The European Journal of Finance, Taylor & Francis Journals, vol. 6(4), pages 332-352.
- Christos Floros & Dimitrios Vougas, 2004. "Hedge ratios in Greek stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1125-1136.
- 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.
- Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:19:y:1984:i:01:p:101-112_01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed