Add to ORKGThis thesis presents three alternative methods to estimate the optimal hedge ratio. These methods are OLS, EWMA and DCC GARCH(1,1). The optimal hedge ratio estimated by different methods is then used for hedging the exchange rate risk with currency futures. To hedge the exchange rate risk, both static and dynamic hedging is applied. Each type of hedging is compared in terms of their effectiveness
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
This paper utilizes the inter-temporal relationship between the FTSE-100 stock index and its futures...
Investing is a risky business, it can be seen from the development of the financial market in the wo...
This thesis presents three alternative methods to estimate the optimal hedge ratio. These methods ar...
Instead of modeling asset price and currency risks separately, this paper derives the international ...
Unfortunately, the hedging effectiveness of the GNMA futures market has been diminished by a lack of...
This paper investigates the effect of the choice of the model used to estimate the hedge ratio on th...
Standard static hedging models employing futures contracts yield poor results for most commodities, ...
An examination of the hedging literature reveals widespread employment of the Ordinary Least Square...
One of the most important roles of a futures market is to provide the means of risk reduction. Optim...
Throughout research literature on hedging with futures, a number of techniques to estimate the optim...
Abstract Instead of modeling asset price and currency risks separately, this paper derives the inter...
The use of futures contracts as hedging instruments to reduce risk has been the focus of much resear...
In the globalized economy many businesses are exposed to the foreign exchange risk in their daily tr...
Work deals with the instruments that can be used to hedge exchange rate risk with accent on outright...
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
This paper utilizes the inter-temporal relationship between the FTSE-100 stock index and its futures...
Investing is a risky business, it can be seen from the development of the financial market in the wo...
This thesis presents three alternative methods to estimate the optimal hedge ratio. These methods ar...
Instead of modeling asset price and currency risks separately, this paper derives the international ...
Unfortunately, the hedging effectiveness of the GNMA futures market has been diminished by a lack of...
This paper investigates the effect of the choice of the model used to estimate the hedge ratio on th...
Standard static hedging models employing futures contracts yield poor results for most commodities, ...
An examination of the hedging literature reveals widespread employment of the Ordinary Least Square...
One of the most important roles of a futures market is to provide the means of risk reduction. Optim...
Throughout research literature on hedging with futures, a number of techniques to estimate the optim...
Abstract Instead of modeling asset price and currency risks separately, this paper derives the inter...
The use of futures contracts as hedging instruments to reduce risk has been the focus of much resear...
In the globalized economy many businesses are exposed to the foreign exchange risk in their daily tr...
Work deals with the instruments that can be used to hedge exchange rate risk with accent on outright...
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and it...
This paper utilizes the inter-temporal relationship between the FTSE-100 stock index and its futures...
Investing is a risky business, it can be seen from the development of the financial market in the wo...