A Risk-Return Measure of Hedging Effectiveness
No abstract is available for this item.
Volume (Year): 19 (1984)
Issue (Month): 01 (March)
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"Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement,"
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- 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.
- 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.
- Mahdavi, Mahnaz, 1997. "A Bayesian approach to foreign exchange forecasting," Global Finance Journal, Elsevier, vol. 8(1), pages 15-31.
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- Chiu, Wan-Yi, 2013. "A simple test of optimal hedging policy," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1062-1070.
- 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.
- 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.
- 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.
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