✦ LIBER ✦

Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures

✍ Scribed by A. F. Herbst; D. D. Kare; S. C. Caples

Publisher: John Wiley and Sons
Year: 1989
Tongue: English
Weight: 799 KB
Volume: 9
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990090302

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Hedge period length and Ex-ante futures

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

✍ Bruce A. Benet 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 592 KB

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.

Multiperiod hedging using futures: A ris

Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation

✍ Charles T. Howard; Louis J. D'Antonio 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 812 KB

he single period model, because of its simplicity and often plausible representa-T tion, is used to describe a wide range of economic and financial decision making. Those who advocate such an approach recognize that the world is truly multiperiod and approximately infinite, but find that a single pe

The impact of the lengths of estimation

The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures

✍ A. G. Malliaris; Jorge L. Urrutia 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 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