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An intertemporal measure of hedging effectiveness · Study

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ArticleAn intertemporal measure of hedging effectiveness

Jack S. K. Chang1990

Article1990

An intertemporal measure of hedging effectiveness

Jack S. K. Chang · Hsing Fang

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

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Risk Management in Financial Firms Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous 1976The pricing of commodity contracts 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1979The Hedging Performance of the New Futures Markets 1984Optimal Hedging Policies

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1988Hedging with futures in an intertemporal portfolio contextarticle · 9 shared references 1988On the Optimal Hedge of a Nontraded Cash Positionarticle · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 5 shared references 2013Financial Asset Pricing Theorybook · 5 shared references 1996An examination of dynamic hedgingarticle · 5 shared references 2007Model-free hedge ratios and scale-invariant modelsarticle · 5 shared references

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Year1990

Typearticle

Published1990-06-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations20

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1002/fut.3990100308

openalex_workW2018377335

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