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Hedge period length and Ex-ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges

โœ Scribed by Bruce A. Benet


Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
592 KB
Volume
12
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis


Support from the DePaul College of Commerce summer research grants program is gratefully 'Data are obtained from the IMM Yearbook, the CRB Commodity Yearbmk, and The Wall Street 'For a discussion of the various theoretical drawbacks of the mean-variance (risk-minimizing) acknowledged.


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The impact of the lengths of estimation
โœ A. G. Malliaris; Jorge L. Urrutia ๐Ÿ“‚ Article ๐Ÿ“… 1991 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 897 KB

Beta-Moan-0.84118 STD -2 7 0 6 8 STD = 0.00570 0 9, Beta -Moan -0.94924 STD -0.06408 -Jj l ' I ' I ' I ' / ' l ' l ' I ' l ' l ' I ' l ' 1 ' I B Four-Week Ex Post Hedging Horizon 26 Week Estimation Period