This study employs a new time series representation of persistence in conditional mean and variance to test for the existence of the long memory property in the currency futures market. Empirical results indicate that there exists a fractional exponent in the differencing process for foreign...

The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic...

This paper aims to explore strategies used for hedging credit default swap (CDS) risks. By analyzing the AIG financial crisis in 2008, we understand the nature of CDS and why AIG incurred huge losses. In addition, we investigate other financial products that can be used to hedge CDS risks....