DYNAMIC HEDGING OF COMMERCIAL PAPER WITH T-BILL FUTURES.

Authors :: Koutmos, Gregory
Pericli, Andreas
Source :: Journal of Futures Markets; Dec98, Vol. 18 Issue 8, p925-938, 14p
Publication Year :: 1998
Abstract: Proposes a dynamic hedging model for commercial paper that takes advantage of time dependencies present in the joint density of commercial paper and T-bill futures. Comparison of the hedging effectiveness of the dynamic model to that of the static regression model; Econometric specification.

Language :: English
ISSN :: 02707314
Volume :: 18
Issue :: 8
Database :: Complementary Index
Journal :: Journal of Futures Markets
Publication Type :: Academic Journal
Accession number :: 1296469
Full Text :: https://doi.org/10.1002/(SICI)1096-9934(199812)18:8<925::AID-FUT3>3.0.CO;2-K