The Hedging Effectiveness Of Foreign Currency Futures

Citations

Cited by:

1. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
2. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
3. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
4. Patrick L. Brockett & Mulong Wang & Chuanhou Yang, 2005. "Weather Derivatives and Weather Risk Management," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 127-140, March.
5. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
6. Atreya Chakraborty & John Barkoulas, 1999. "Dynamic futures hedging in currency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 5(4), pages 299-314.
7. Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.
8. Ghosh, Asim, 1996. "Cross-Hedging Foreign Currency Risk: Empirical Evidence from an Error Correction Model," Review of Quantitative Finance and Accounting, Springer, vol. 6(3), pages 223-231, May.
9. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2017. "Do commodities make effective hedges for equity investors?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1274-1288.
10. Goswami, Alankrita & Karali, Berna & Adjemian, Michael K., 2023. "Hedging with futures during nonconvergence in commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).
11. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.
12. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
13. Zhao, Jieyuan & Goodwin, Barry K., 2012. "Dynamic Cross-Hedge Ratios: An Application of Copula Models," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124610, Agricultural and Applied Economics Association.
14. Jerry A. Hammer, 1990. "Hedging Performance And Hedging Objectives: Tests Of New Performance Measures In The Foreign Currency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 307-323, December.
15. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
    • Carol Alexander & Marcel Prokopczuk & Anannit Sumawon, 2012. "The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread," ICMA Centre Discussion Papers in Finance icma-dp2012-01, Henley Business School, University of Reading.
16. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Cross hedging with stock index futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 128-144.
17. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
18. Joost M. E. Pennings & Matthew T. G. Meulenberg, 1997. "The hedging performance in new agricultural futures markets: A note," Agribusiness, John Wiley & Sons, Ltd., vol. 13(3), pages 295-300.
19. Ghoddusi, Hamed & Emamzadehfard, Sahar, 2017. "Optimal hedging in the US natural gas market: The effect of maturity and cointegration," Energy Economics, Elsevier, vol. 63(C), pages 92-105.
20. Asim Ghosh & Ronnie Clayton, 1996. "Hedging With International Stock Index Futures: An Intertemporal Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 477-491, December.
21. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
22. Chao Jiang & Ira G. Kawaller & Paul D. Koch, 2016. "Designing A Proper Hedge: Theory Versus Practice," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 123-144, June.
23. Sercu, Piet & Wu, Xueping, 2000. "Cross- and delta-hedges: Regression- versus price-based hedge ratios," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 735-757, May.
24. Young, Martin & Hogan, Warren & Batten, Jonathan, 2004. "The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 13-25.
25. Vollmer, Teresa & von Cramon-Taubadel, Stephan, 2020. "The Optimal Wheat Futures Hedge at the Euronext Paris from a Farmer’s Perspective," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(1), March.
26. Andrea L. DeMaskey, 1997. "Single and Multiple Portfolio Cross-Hedging with Currency Futures," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 23-46, March.