Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market
Download full text from publisher
References listed on IDEAS
- Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 101-112, March.
- Englund, Peter & Hwang, Min & Quigley, John M, 2002.
"Hedging Housing Risk,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
- Peter ENGLUND & Min HWANG & John M. QUIGLEY, 2000. "Hedging Housing Risk," FAME Research Paper Series rp26, International Center for Financial Asset Management and Engineering.
- Englund, Peter & Hwang, Min & Quigley, John M., 2002. "Hedging Housing Risk," Berkeley Program on Housing and Urban Policy, Working Paper Series qt06t5d6v0, Berkeley Program on Housing and Urban Policy.
- Englund, Peter & Hwang, Min & Quigley, John M., 2001. "Hedging Housing Risk," SIFR Research Report Series 2, Institute for Financial Research.
- Lawrence Benveniste & Dennis R. Capozza & Paul J. Seguin, 2001. "The Value of Liquidity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(4), pages 633-660.
- Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
- Philippe Boveroux & Albert Minguet, 1999. "Selecting hedge ratio maximizing utility or adjusting portfolio's beta," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 423-432.
- Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
- Richard D. F. Harris & Jian Shen & Evarist Stoja, 2010. "The Limits to Minimum-Variance Hedging," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 737-761.
- David Collett & Colin Lizieri & Charles Ward, 2003. "Timing and the Holding Periods of Institutional Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 205-222, June.
- Park, Tae H & Switzer, Lorne N, 1995. "Risk Management of Real Estate: The Case of Real Estate Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 11(3), pages 219-233, November.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rdg:repxwp:rep-wp2008-05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marie Pearson). General contact details of provider: http://edirc.repec.org/data/bsrdguk.html .