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Portfolio model hedging with canadian dollar futures: A framework for analysis · Study

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ArticlePortfolio model hedging with canadian dollar futures: A framework for analysis

Harry S. Marmer1986

Article1986

Portfolio model hedging with canadian dollar futures: A framework for analysis

Harry S. Marmer

24 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 1977STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES 1980The Hedging Performance of the New Futures Markets: Comment 1983Stability and the hedging performance of foreign currency futures 1981A note on the hedging effectiveness of foreign currency futures 1985Use of three stock index futures in hedging decisions

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2008Hedging Effectiveness in Greek Stock Index Futures Market

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1991Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currenciesarticle · 6 shared references 1992Minimum variance hedge ratios for stock index futures: Duration and expiration effectsarticle · 5 shared references 1983Stability and the hedging performance of foreign currency futuresarticle · 4 shared references 1996HEDGING WITH INTERNATIONAL STOCK INDEX FUTURES: AN INTERTEMPORAL ERROR CORRECTION MODELarticle · 4 shared references 2011The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegratedarticle · 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

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Year1986

Typearticle

Published1986-03-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations24

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1002/fut.3990060108

openalex_workW2136624892

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