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| Tekijä: | Barkoulas, J.T. Chakraborty, A. |
| Otsikko: | Dynamic futures hedging in currency markets |
| Lehti: | European Journal of Finance
1999 : DEC, VOL. 5:4, p. 299-314 |
| Asiasana: | Currency markets Futures markets Hedging |
| Kieli: | eng |
| Tiivistelmä: | The hedging effectiveness of dynamic strategies is compared with static ones using futures contracts for the five leading currencies. The traditional hedging model assumes time invariance in the joint distribution of spot and futures price changes thus leading to a constant optimal hedge ratio (OHR). However, if this time invariance assumption is violated, time-varying OHRs are appropriate for hedging purposes. |
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