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ArticleCross- and delta-hedges: Regression- versus price-based hedge ratios

Piet M. F. A. Sercu2000

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Cross- and delta-hedges: Regression- versus price-based hedge ratios

Piet M. F. A. Sercu · Xueping Wu

20 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1980Measuring security price performance 1979Risk measurement when shares are subject to infrequent trading 1977Estimating betas from nonsynchronous data 1979The Hedging Performance of the New Futures Markets 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1990Anomalies: Foreign Exchange 1990The Dynamics of Stock Index and Stock Index Futures Returns 1976The Theory of Hedging and Speculation in Commodity Futures

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2009Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

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Year2000

Typearticle

Published2000-05-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations20

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1016/s0378-4266(99)00048-5

openalex_workW3123178554

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