ntil very recently, commodity futures markets were largely ignored by the U vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article describes an area which overlaps the two v
Hedging effectiveness of currency options and currency futures
β Scribed by Jack S. K. Chang; Latha Shanker
- Publisher
- John Wiley and Sons
- Year
- 1986
- Tongue
- English
- Weight
- 918 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
T w o recent studies [Hill and Schneeweis (H&S) (forthcoming) and Dale (1981)l
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
## Abstract This article investigates the effects of the spotβfutures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and