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Determining the hedge ratio when cross-hedging corporate bonds with U.S. Treasury bond futures contracts

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  • Schmitt, Susan Marie

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  • Schmitt, Susan Marie, 1985. "Determining the hedge ratio when cross-hedging corporate bonds with U.S. Treasury bond futures contracts," ISU General Staff Papers 1985010108000018108, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:1985010108000018108
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    References listed on IDEAS

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    1. Simon Benninga & Rafael Eldor & Itzhak Zilcha, 1984. "The optimal hedge ratio in unbiased futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(2), pages 155-159, June.
    2. Brendan Brown & Charles R. Geisst, 1983. "Financial Futures Markets," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-17217-7.
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