We investigate the performance of conditional hedging strategies in the context of banker's acceptance positions. This strategy is based on the GARCH methodology developed by Engle (1982) and Bollerslev (1986), and incorporates information contained in past return innovations as well as past...

This paper investigates the dynamic and portfolio effects in a multi-currency hedging problem which incorporates both risk-reduction and speculative components for the futures demand. We model the joint evolution of daily spot portfolio returns and log-differences of the corresponding futures...