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Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies

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  • Abe De Jong
  • Frans De Roon
  • Chris Veld

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  • Abe De Jong & Frans De Roon & Chris Veld, 1997. "Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(7), pages 817-837, October.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:7:p:817-837
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    Cited by:

    1. Jui-Cheng Hung & Chien-Liang Chiu & Ming-Chih Lee, 2006. "Hedging with zero-value at risk hedge ratio," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 259-269.
    2. Pedro Barroso & Jurij-Andrei Reichenecker & Marco J. Menichetti, 2022. "Hedging with an Edge: Parametric Currency Overlay," Management Science, INFORMS, vol. 68(1), pages 669-689, January.
    3. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).
    4. Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003. "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 25-54, March-Jun.
    5. Scott McCarthy, 2003. "Hedging versus not hedging: strategies for managing foreign exchange transaction exposure," School of Economics and Finance Discussion Papers and Working Papers Series 162, School of Economics and Finance, Queensland University of Technology.
    6. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
    7. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    8. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    9. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    10. Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.

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