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Estimating the hedging effectiveness of Treasury bill futures: an alternative approach

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  • Patrick M. Parkinson

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  • Patrick M. Parkinson, 1982. "Estimating the hedging effectiveness of Treasury bill futures: an alternative approach," International Finance Discussion Papers 196, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:196
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1982/196/ifdp196.pdf
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    References listed on IDEAS

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    1. Charles Dale, 1981. "The hedging effectiveness of currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(1), pages 77-88, March.
    2. Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-341, August.
    3. 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.
    4. Heifner, Richard G., 1973. "Hedging Potential in Grain Storage and Livestock Feeding," Agricultural Economic Reports 307482, United States Department of Agriculture, Economic Research Service.
    5. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
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