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Coberturas de carteras de bonos con futuros financieros: evidencia en el caso español

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  • Roberto Blanco

    (CNMV)

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  • Roberto Blanco, 1992. "Coberturas de carteras de bonos con futuros financieros: evidencia en el caso español," Investigaciones Economicas, Fundación SEPI, vol. 16(3), pages 463-487, September.
    • Handle: RePEc:iec:inveco:v:16:y:1992:i:3:p:463-487
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    References listed on IDEAS

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    1. A. F. Herbst & D. D. Kare & S. C. Caples, 1989. "Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(3), pages 185-197, June.
    2. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 101-112, March.
    3. Robert J. Myers & Stanley R. Thompson, 1989. "Generalized Optimal Hedge Ratio Estimation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 858-868.
    4. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    5. Gerald D. Gay & Robert W. Kolb & Raymond Chiang, 1983. "Interest Rate Hedging: An Empirical Test Of Alternative Strategies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 187-197, September.
    6. Chang, Jack S. K. & Shanker, Latha, 1987. "A Risk-Return Measure of Hedging Effectiveness: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 373-376, September.
    7. 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.
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