Hedging foreign currency, freight, and commodity futures portfolios - A note

Journal of Futures Markets

Volumn 22, Issue 12, 2002, Pages 1205-1221

  Haigh, Michael S ^a   Holt, Matthew T ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036402293     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10050     Document Type: Review

References (21)

1. Baba, Y., Engle, R. F., Kraft, D. F., & Kroner, K. F. (1989). Multivariate simultaneous generalized ARCH. Unpublished manuscript, University of California, San Diego.
2. Baillie, R. T., & Myers, R. J. (1991). Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6, 109-124.
3. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedacity. Journal of Econometrics, 31, 301-327.
4. Borhrnstedt, G. W., & Goldberger, A. S. (1969). On the exact covariance of products of random variables. Journal of the American Statistical Association, 64, 1439-1442.
5. Carlton, D. W. (1984). Futures markets: Their purpose, their history, their growth, their successes and failures. The Journal of Futures Markets, 4, 237-271.
6. Cecchetti, S. G., Cumby, R. E., & Figlewski, S. (1988). Estimation of the optimal futures hedge. The Review of Economics and Statistics, 70, 623-630.
7. Dickey, D. A., & Fuller, W. (1981). Likelihood ratio tests for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
8. Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987-1008.
9. Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122-150.
10. Gagnon, L., Lypny, G. J., & McCurdy, T. H. (1998). Hedging foreign currency portfolios. Journal of Empirical Finance, 5, 197-220.
11. Goodman, L. A. (1960). On the exact variance of products. Journal of the American Statistical Association, 55, 708-713.
12. Goodwin, B. K., Grennes, T., & Wohlgenant, M. K. (1990). Testing the law of one price when trade takes time. Journal of International Money and Finance, 9, 21-40.
13. Haigh, M. S., & Holt, M. T. (2000). Hedging multiple price uncertainty in international grain trade. American Journal of Agricultural Economics, 82, 881-896.
14. Hauser, R. J., & Neff, D. (1993). Export/import risks at alternative stages of U.S. grain export trade. The Journal of Futures Markets, 13, 579-595.
15. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 52, 169-210.
16. Kavussanos, M., & Nomikos, N. (1999). Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract. The Journal of Futures Markets, 20, 775-801.
17. Kavussanos, M., & Nomikos, N. (2000). Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market. Transportation Research: Part E: Logistics and Transportation Review, 36, 229-248.
18. 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.
19. Lypny, G., & Powalla, M. (1998). The hedging effectiveness of DAX futures. The European Journal of Finance, 4, 345-355.
20. Silber, W. L. (1981). Innovation, competition and new contract design in futures markets. The Journal of Futures Markets, 1, 123-155.
21. Tong, W. (1996). An examination of dynamic hedging. Journal of International Money and Finance, 15, 19-35.