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Usefulness of treasury bill futures as hedging instruments · Study

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ArticleUsefulness of treasury bill futures as hedging instruments

Paul Cicchetti1981

Article1981

Usefulness of treasury bill futures as hedging instruments

Paul Cicchetti · Charles Dale · Anthony J. Vignola

23 citations·0/0 files stored·Journal of Futures Markets

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Risk Management in Financial Firms Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1979The Hedging Performance of the New Futures Markets 1976The Theory of Hedging and Speculation in Commodity Futures 1960The Theory of Hedging and Speculation in Commodity Futures 1976The Simultaneous Determination of Spot and Futures Prices 1948Theory of the Inverse Carrying Charge in Futures Markets 1976Futures Trading and Hedging 1979The Efficiency of the Treasury Bill Futures Market 1978Using T-bill futures to gauge interest rate expectations

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1986The hedging performance of the CD futures market 1985A measure of hedging's performance 2000The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk

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1982Issues in futures markets: A surveyarticle · 5 shared references 1992Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedgesarticle · 5 shared references 1992Hedge effectiveness: Basis risk and minimum‐variance hedgingarticle · 5 shared references 1989Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futuresarticle · 5 shared references 2012The (de)merits of minimum-variance hedging: Application to the crack spreadarticle · 5 shared references 1996HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODELarticle · 5 shared references

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Year1981

Typearticle

Published1981-09-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations23

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1002/fut.3990010310

openalex_workW2014574471

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