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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …
Persistent link: https://www.econbiz.de/10005621718
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Usefulness of Treasury Bill Futures as Hedging Instruments
Cicchetti, Paul; Dale, Charles; Vignola, Anthony - Volkswirtschaftliche Fakultät, … - 1981
In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio … model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were … misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years …
Persistent link: https://www.econbiz.de/10011107838
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011109710
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Is the Futures Market for Treasury Bills Efficient?
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1979
In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury...
Persistent link: https://www.econbiz.de/10011110375
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The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1980
theory of the term structure of interest rates. In general, the results show that the overnight cost-of-carry model is better …
Persistent link: https://www.econbiz.de/10011112305
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011196423
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The Optimal Liquidity Principle with Restricted Borrowing
Mierzejewski, Fernando - 2009
A model is presented to characterise the (optimal) demand for cash balances in deregulated markets. After the model of James Tobin, 1958, net balances are determined in order to maximise the expected return of a certain portfolio combining risk and capital. Unlike the model of Tobin, the prices...
Persistent link: https://www.econbiz.de/10013159438
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Is gold good for hedging? lessons from the Malaysian sectoral stock indices
Rahim, Yasmin; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2015
studies by grounding them more solidly on reality. The theory of Markowitz 1952 in the context of investment portfolio urged … a hedging instrument against these sectors. Hence, we humbly suggest to the investors and investment portfolio managers …
Persistent link: https://www.econbiz.de/10011267877
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Markov-switching Asset Allocation: Do Profitable Strategies Exist?
Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...
Persistent link: https://www.econbiz.de/10008592944
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Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis
Ali, Mohsin; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the time-varying relationship between the oil price and disaggregated stock market of India using DCC-MGARCH and Continuous Wavelet Transformation methodologies. Our findings reveal the evolving relationship between the oil price and disaggregated stock market. The...
Persistent link: https://www.econbiz.de/10011114152