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Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes
Rhoads, Russell - 2011
market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures …, exchange trading notes and options on exchange traded notes. Known as the "fear index" the VIX provides a snapshot of … participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading …
Persistent link: https://www.econbiz.de/10009311046
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Hedged equity portfolios : components of risk and return
Peters, Ed - In: Advances in futures and options research : a research annual 1 (1986), pp. 75-91
Persistent link: https://www.econbiz.de/10001339383
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Hedging time-varying downside risk
Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
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A note on the length effect of futures hedging
Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Advances in investment analysis and portfolio … 7 (2000), pp. 131-143
Persistent link: https://www.econbiz.de/10001542589
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Single and multiple portfolio cross-hedging with currency futures
DeMaskey, Andrea L. - In: Multinational finance journal : MF ; quarterly … 1 (1997) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001443875
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Single and Multiple Portfolio Cross-Hedging with Currency Futures
DeMaskey, Andrea L. - 2016
This article presents empirical evidence on the effectiveness of currency futures cross-hedging with the portfolio model. Single and multiple crosshedges for three minor European and three minor Asian currencies are examined. The performance of the cross-hedged portfolios is measured in terms of...
Persistent link: https://www.econbiz.de/10013004205
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The hedging effectiveness of options and futures : a mean-Gini approach
Cheung, C. Sherman - In: The journal of futures markets 10 (1990) 1, pp. 61-73
Persistent link: https://www.econbiz.de/10001128107
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Risk management using index-linked catastrophic loss and capital market instruments
Kellner, Ralf - 2012
Persistent link: https://www.econbiz.de/10009577837
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Futures hedging when the structure of the underlying asset changes : the case of the BIFFEX contract
Kavussanos, Manolis G.; Nomikos, Nikos K. - In: The journal of futures markets 20 (2000) 8, pp. 775-801
Persistent link: https://www.econbiz.de/10001523757
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Futures Hedging when the Composition of the Underlying Asset Changes; The Case of the BIFFEX Contract
Nomikos, Nikos K. - 2014
This article is concerned with the hedging effectiveness of futures contracts whose underlying asset is an index, when … the structure of this index is changing. The case of the freight futures (BIFFEX) contract is examined here. Investigation … of this issue is particularly interesting as the composition of its underlying asset, the Baltic Freight Index (BFI), has …
Persistent link: https://www.econbiz.de/10013070967