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Hedging short‐term interest risk under time‐varying distributions

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  • Louis Gagnon
  • Greg Lypny

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  • Louis Gagnon & Greg Lypny, 1995. "Hedging short‐term interest risk under time‐varying distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(7), pages 767-783, October.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:7:p:767-783
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    Cited by:

    1. Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
    2. Martínez, Beatriz & Torró, Hipòlit, 2015. "European natural gas seasonal effects on futures hedging," Energy Economics, Elsevier, vol. 50(C), pages 154-168.
    3. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
    4. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
    5. Eduardo Rossi & Claudio Zucca, 2002. "Hedging interest rate risk with multivariate GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 241-251.

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