메뉴 건너뛰기




Volumn 5, Issue 2, 1997, Pages 215-230

Cross-hedging foreign exchange rate risks: The case of deposit money banks in emerging Asian countries

Author keywords

Cross hedging; Currency futures; Emerging countries; Exchange rate risks

Indexed keywords


EID: 0031161127     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0927-538x(97)00013-9     Document Type: Article
Times cited : (7)

References (16)
  • 2
    • 84978555739 scopus 로고
    • Commodity futures cross hedging of foreign exchange exposure
    • Benet, B.A., 1990. Commodity futures cross hedging of foreign exchange exposure. Journal of Futures Markets 10, 287-306.
    • (1990) Journal of Futures Markets , vol.10 , pp. 287-306
    • Benet, B.A.1
  • 3
    • 0002518791 scopus 로고
    • Cross hedging the Italian lira/US dollar exchange rate with Deutsch mark futures
    • Braga, F.S., Martin, L.J., Meilke, K.D., 1989. Cross hedging the Italian lira/US dollar exchange rate with Deutsch mark futures. Journal of Futures Markets 9, 87-99.
    • (1989) Journal of Futures Markets , vol.9 , pp. 87-99
    • Braga, F.S.1    Martin, L.J.2    Meilke, K.D.3
  • 5
    • 84993869036 scopus 로고
    • Currency hedging for international portfolios
    • Glen, J., Jorion, P., 1993. Currency hedging for international portfolios. Journal of Finance 48, 1865-1886.
    • (1993) Journal of Finance , vol.48 , pp. 1865-1886
    • Glen, J.1    Jorion, P.2
  • 7
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 11
    • 84971942651 scopus 로고
    • Time-varying distributions and dynamic hedging with foreign currency futures
    • Kroner, K.F., Sultan, J., 1993. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28, 535-551.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 535-551
    • Kroner, K.F.1    Sultan, J.2
  • 12
    • 84978595196 scopus 로고
    • Hedging foreign exchange risk with currency futures: Portfolio effects
    • Lypny, G.J., 1988. Hedging foreign exchange risk with currency futures: Portfolio effects. Journal of Futures Markets 8, 703-715.
    • (1988) Journal of Futures Markets , vol.8 , pp. 703-715
    • Lypny, G.J.1
  • 13
    • 84977715008 scopus 로고
    • Using generalized method of moments to test mean-variance efficiency
    • MacKinlay, A.C., Richardson, M.P., 1991. Using generalized method of moments to test mean-variance efficiency. Journal of Finance 46, 511-527.
    • (1991) Journal of Finance , vol.46 , pp. 511-527
    • MacKinlay, A.C.1    Richardson, M.P.2
  • 14
    • 0000706085 scopus 로고
    • A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W.K., West, K., 1987. A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.2
  • 15
    • 0010860052 scopus 로고
    • Cross-hedging performance of the U.S. Currency futures market: The European monetary system currencies
    • Park, H.Y., Lee, A., Lee, H.W., 1987. Cross-hedging performance of the U.S. currency futures market: The European monetary system currencies. Advances in Futures and Options Research 2, 223-241.
    • (1987) Advances in Futures and Options Research , vol.2 , pp. 223-241
    • Park, H.Y.1    Lee, A.2    Lee, H.W.3
  • 16
    • 0001974370 scopus 로고
    • The free lunch in currency hedging: Implications for investment policy and performance standards
    • May-June
    • Perold, A.F., Schulman, E.C., 1988. The free lunch in currency hedging: Implications for investment policy and performance standards. Financial Analysts Journal, May-June, 45-50.
    • (1988) Financial Analysts Journal , pp. 45-50
    • Perold, A.F.1    Schulman, E.C.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.