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The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures

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  • A. G. Malliaris
  • Jorge L. Urrutia

Abstract

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Suggested Citation

  • A. G. Malliaris & Jorge L. Urrutia, 1991. "The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 271-289, June.
  • Handle: RePEc:wly:jfutmk:v:11:y:1991:i:3:p:271-289
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    Cited by:

    1. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
    2. Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    3. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 1-37, December.
    4. 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.
    5. Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
    6. Carolyn W. Chang & Jack S. K. Chang & Hsing Fang, 1996. "Optimal Futures Hedge With Marking-To-Market And Stochastic Interest Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 309-326, September.
    7. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
    8. Donald Lien & Keshab Shrestha, 2005. "Estimating the optimal hedge ratio with focus information criterion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(10), pages 1011-1024, October.
    9. Pok, Wee Ching & Poshakwale, Sunil S. & Ford, J.L., 2009. "Stock index futures hedging in the emerging Malaysian market," Global Finance Journal, Elsevier, vol. 20(3), pages 273-288.
    10. repec:eee:eneeco:v:63:y:2017:i:c:p:92-105 is not listed on IDEAS
    11. Chao Jiang & Ira G. Kawaller & Paul D. Koch, 2016. "Designing A Proper Hedge: Theory Versus Practice," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 123-144, June.
    12. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
    13. Kotkatvuori-Ă–rnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.

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