## Abstract Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a timeβvarying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the
A note on the hedging effectiveness of foreign currency futures
β Scribed by Joanne Hill; Thomas Schneeweis
- Publisher
- John Wiley and Sons
- Year
- 1981
- Tongue
- English
- Weight
- 328 KB
- Volume
- 1
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
β¦ Synopsis
T w o recent studies [Hill and Schneeweis (H&S) (forthcoming) and Dale (1981)l
π SIMILAR VOLUMES
ecently a number of authors have examined the hedging performance of R Treasury-bill futures (Ederington, 1979; Franckle, 1980) and foreign currency futures (Dale, 1981; Hi and Schneeweis, 1981, and forthcornin& In order to investigate this question the authors regress the level (or change in the le
In many empirical studies, both spot and futures prices were shown to contain a stochastic trend. Consequently, it is necessary to examine the possible cointegration relationship between the two prices as suggested by the efficient markets hypothesis. The importance of incorporating the cointegratio
In a recent paper, Kuo and Chen (1995) propose a simplification of the Howard and D'Antonio (1984, 1987) model of hedging effectiveness. This note extends Kuo-Chen's suggested simplification to derive the optimal hedge ratio and second order conditions (SOCs) of the Howard-D'Antonio model. These SOC
## Abstract This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal