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Selectively hedging the Euro

  • Simpson, Marc W.
  • Dania, Akash

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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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  1. Taylor, Mark P, 1989. "Covered Interest Arbitrage and Market Turbulence," Economic Journal, Royal Economic Society, vol. 99(396), pages 376-91, June.
  2. 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.
  3. 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.
  4. 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.
  5. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
  6. 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.
  7. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  8. 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.
  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. 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.
  11. 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.
  12. 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.
  13. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  14. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, November.
  15. 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.
  16. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, November.
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