Comparing the effectiveness of traditional and time varying hedge ratios using new zealand and australian debt futures contracts

Financial Review

Volumn 34, Issue 3, 1999, Pages 79-94

  Wilkinson, Katherine J ^a   Rose, Lawrence C ^b   Young, Martin R ^c  

^a TEXAS TECH UNIVERSITY   (United States)

^b MASSEY UNIVERSITY   (New Zealand)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Cointegration; Debt futures contracts; Error correction models; Hedge ratios

Indexed keywords

EID: 1642327805     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.1999.tb00464.x     Document Type: Article

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