A comparison of measures of hedging effectiveness: a case study using the Australian All Ordinaries Share Price Index Futures contract

Author:

Brailsford Tim,Corrigan Katherine,Heaney Richard

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Hedge performance of SPX index options and S&P 500 futures;Benet;J. Futures Markets,1995

2. A risk-return measure of hedging effectiveness: a comment;Chang;J. Finan. Quant. Anal.,1987

3. Davidson, R., Mackinnon, J.G., 1993. Estimation and Inference in Econometrics. Oxford University Press: New York.

4. Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies;de Jong;J. Futures Markets,1997

5. The hedging performance of the new futures markets;Ederington;J. Finance,1979

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