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Hedging with Foreign-listed Single Stock Futures
Hung, Mao-wei; Lee, Cheng-few; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2005
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...
Persistent link: https://www.econbiz.de/10011109598
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Alternative instruments for hedging inflation risk in the banking industry
Koppenhaver, Gary D.; Lee, Cheng F. - 1987
Persistent link: https://www.econbiz.de/10000737189
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Alternative instruments for hedging inflation risk in the banking industry
Koppenhaver, Gary D. - In: The journal of futures markets 7 (1987) 6, pp. 619-636
Persistent link: https://www.econbiz.de/10001149670
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Hedging with the Nikkei index futures : the convential model versus the error correction model
Chou, Win-lin - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 495-505
Persistent link: https://www.econbiz.de/10001214226
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Use of three stock index futures in hedging decisions
Junkus, Joan C. - In: The journal of futures markets 5 (1985) 2, pp. 201-222
Persistent link: https://www.econbiz.de/10001128567
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Stock index futures hedge ratios : tests on horizon effects and functional form
Lee, Cheng F. - In: Advances in futures and options research : a research annual 2 (1987), pp. 291-311
Persistent link: https://www.econbiz.de/10001081765
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On a mean-generalized semivariance approach to determining the hedge ratio
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The journal of futures markets 21 (2001) 6, pp. 581-598
Persistent link: https://www.econbiz.de/10001579727
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An intertemporal CAPM approach to evaluate mutual fund performance
Chang, Jow-ran; Hung, Mao-Wei; Lee, Cheng F. - In: Review of quantitative finance and accounting 20 (2003) 4, pp. 415-433
Persistent link: https://www.econbiz.de/10001773915
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Futures hedge ratios : a review
Chen, Sheng-syan; Lee, Cheng F.; Shrestha, Keshab - In: The quarterly review of economics and finance : journal … 43 (2003) 3, pp. 433-465
Persistent link: https://www.econbiz.de/10001782501
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A new measure to compare the hedging effectiveness of foreign currency futures versus options
Hsin, Chin-wen - In: The journal of futures markets 14 (1994) 6, pp. 685-707
Persistent link: https://www.econbiz.de/10001171306