Fink, Jason; Fink, Kristin E.; Lange, Stephen - In: Journal of Futures Markets 25 (2005) 7, pp. 661-678
This article examines the importance of term structure variables in the hedging of mortgage‐backed securities (MBS) with Treasury futures. Koutmos, G., Kroner, K., and Pericli, A. (1998) find that the optimal hedge ratio is time varying; we determine the effect of yield levels and slopes on...