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Hedging Interest Rate Risk Under Term Structure Effects: An Application To Financial Institutions

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  • Jimmy E. Hilliard
  • Susan D. Jordan

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  • Jimmy E. Hilliard & Susan D. Jordan, 1992. "Hedging Interest Rate Risk Under Term Structure Effects: An Application To Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 355-368, December.
    • Handle: RePEc:bla:jfnres:v:15:y:1992:i:4:p:355-368
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1992.tb00118.x
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    References listed on IDEAS

    as
    1. Hilliard, Jimmy E, 1984. "Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects," Journal of Finance, American Finance Association, vol. 39(5), pages 1547-1570, December.
    2. Hilliard, Jimmy E. & Jordan, Susan D., 1989. "Hedging Interest Rate Risk with Futures Portfolios under Full-Rank Assumptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 217-240, June.
    3. Robert W. Kolb & Raymond Chiang, 1982. "Duration, Immunization, And Hedging With Interest Rate Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 161-170, June.
    4. Flannery, Mark J & James, Christopher M, 1984. "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
    5. Hilliard, Jimmy E. & Jordan, Susan D., 1991. "Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 345-362, September.
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    Cited by:

    1. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, University Library of Munich, Germany.

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