Currency Hedging Using the Mean-Gini Framework
โ Scribed by David R. Shaffer; Andrea DeMaskey
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 155 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We are thankful to De-Min Wu and two anonymous referees for helpful comments and suggestions. A. G. Malliaris at Loyola University of Chicago kindly provided the data for this research. Of course, we are responsible for any remaining errors.
T eration of the types of instruments on various organized exchanges and by the increasing trading volume of each instrument since the first futures contracts on foreign currencies were introduced by the Chicago Mercantile Exchange in 1972 and the establishment of the Chicago Board Options Exchange
See Shalit and Yitzhaki (1984), p. 1467. \*he return on the futures contract is defined as the percentage change in the futures price. Strictly speaking, however, futures contracts have no return because they require no investment. Identifying the percentage price change on the futures as the future