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Stability and the hedging performance of foreign currency futures · Study

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ArticleStability and the hedging performance of foreign currency futures

Theoharry Grammatikos1983

Article1983

Stability and the hedging performance of foreign currency futures

Theoharry Grammatikos · Anthony Saunders

80 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

1979The Hedging Performance of the New Futures Markets 1978Beta as a Random Coefficient 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES 1980The Hedging Performance of the New Futures Markets: Comment

Cited by

2006An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis 1992Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges 2000Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market 1987Cross-hedging foreign currency risk 1995Hedging short‐term interest risk under time‐varying distributions 2004An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios 1991Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies 1995The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model

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1986Portfolio model hedging with canadian dollar futures: A framework for analysisarticle · 4 shared references 1991The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futuresarticle · 3 shared references 1997Hedging efficiency: A futures exchange management approacharticle · 3 shared references 1992Minimum variance hedge ratios for stock index futures: Duration and expiration effectsarticle · 3 shared references 1989Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futuresarticle · 3 shared references 1991Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currenciesarticle · 3 shared references

Details

Year1983

Typearticle

Published1983-09-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations80

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1002/fut.3990030305

openalex_workW2126239244

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