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Stability and the hedging performance of foreign currency futures

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References

1979The Hedging Performance of the New Futures Markets1,566 cited
1978Beta as a Random Coefficient385 cited
1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
1980The Hedging Performance of the New Futures Markets: Comment93 cited

Cited by

2006An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis84 cited
1992Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges80 cited
2000Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market75 cited
1987Cross-hedging foreign currency risk65 cited
2004An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios62 cited
1995Hedging short‐term interest risk under time‐varying distributions62 cited
1991Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies34 cited
1995The Hedging Effectiveness of ECU Futures Contracts: Forecasting Evidence from an Error Correction Model31 cited
2001Risk management methods for the liner shipping industry: the case of the Bunker Adjustment Factor25 cited
1986Portfolio model hedging with canadian dollar futures: A framework for analysis

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24 cited

2000Cross- and delta-hedges: Regression- versus price-based hedge ratios20 cited

1990An intertemporal measure of hedging effectiveness20 cited