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Portfolio model hedging with canadian dollar futures: A framework for analysis
9 references·1 citing·39 second hop
Portfolio model hedging with canadian dollar futures: A framework for analysis (1986)Portfolio model hedging with canadian dol…Use of three stock index futures in hedging decisions (1985)Use of three stock index futu…Stability and the hedging performance of foreign currency futures (1983)Stability and the hedging per…THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES (1982)THE HEDGING EFFECTIVENESS OF …The hedging effectiveness of currency futures markets (1981)The hedging effectiveness of …A note on the hedging effectiveness of foreign currency futures (1981)A note on the hedging effecti…The Hedging Performance of the New Futures Markets: Comment (1980)The Hedging Performance of th…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Beta as a Random Coefficient (1978)Beta as a Random CoefficientSTABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS (1977)STABILITY TESTS FOR ALPHAS AN…Hedging Effectiveness in Greek Stock Index Futures Market (2008)Hedging Effectiveness in Gree…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Multivariate Simultaneous Generalized ARCH (1995)Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets (2013)Applied Linear Statistical Models. (1975)Futures Trading and Hedging (1976)Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Hedging foreign currency portfolios (1998)Hedge effectiveness: Basis risk and minimum-variance hedging (2000)The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Speculation in Commodity Futures (1976)The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)Hedging efficiency: A futures exchange management approach (1997)The pricing of commodity contracts (1976)Exchange-rate determination : a survey of popular views and recent models (1978)Weather Derivatives and Weather Risk Management (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Capital Market Equilibrium with Restricted Borrowing (1972)Duration Dependence in Stock Prices (2004)Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Are stock markets really efficient? Evidence of the adaptive market hypothesis (2016)The effect of exchange rate uncertainty on the prices and volume of international trade (1978)The Efficiency of the Treasury Bill Futures Market (1979)A Reformulation of the Portfolio Model of Hedging (1985)Hedging effectiveness of currency options and currency futures (1986)Hedging Strategies of Green Assets against Dirty Energy Assets (2020)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Minimum variance hedge ratios for stock index futures: Duration and expiration effects (1992)Hedging index exchange traded funds (2007)Projects and Their Management: A Literature Review (2009)Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges (1992)Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market (2000)An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis (2006)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)The determinants of CDS spreads (2013)
this work references cited by second hop

References

  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1978Beta as a Random Coefficient385 cited
  • 1977STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS314 cited
  • 1982THE HEDGING EFFECTIVENESS OF FOREIGN CURRENCY FUTURES116 cited
  • 1980The Hedging Performance of the New Futures Markets: Comment93 cited
  • 1983Stability and the hedging performance of foreign currency futures80 cited
  • 1981A note on the hedging effectiveness of foreign currency futures75 cited
  • 1985Use of three stock index futures in hedging decisions74 cited
  • 1981The hedging effectiveness of currency futures markets54 cited

Cited by

  • 2008Hedging Effectiveness in Greek Stock Index Futures Market30 cited

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