de Jong, A.; de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1995
Existing research on the hedging effectiveness of currency futures assumes that futures positions are continuously … adjusted. This is an unrealistic assumption in practice. In this paper we study the hedging effectiveness for futures positions … determine hedge ratios and hedging effectiveness. These are the minimum-variance model of Ederington (1979), the "-t model of …