Author: "Herbst, A.F." / Publisher: wiley-blackwell - Searchworks@Jio Institute Digital Library Search Results

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Author: Herbst, A.F., Swanson, P.E., and Caples, S.C.
Subjects: FUTURES market, LITERATURE, INTEREST rate futures
Abstract: Examines the hedging literature for interest rate and foreign currency in the futures market. Result on the study of Cornell and Reinganum on hedging effectiveness; Investigation of Hill and Scheeweis on the hedging potential of the foreign currency futures market; Conclusion on minimum variance hedge ratio according to Herbst, Kare, and Caples.
Published: 1992
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Author: Herbst, A.F., Kare, D.D., and Caples, S.C.
Subjects: FOREIGN exchange futures, HEDGING (Finance)
Abstract: Examines the foreign currency futures trading for hedging effectiveness. Presence of autoregressive disturbances in the exchange rate; Reduction of the estimates of optimal hedge ratios; Creation of the minimum risk portfolio.
Published: 1989
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