Volatility Spillover in the Foreign Exchange Market: The

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Casey http://www.blogger.com/profile/14985986587206606596 [email protected] Blogger 140 1 25 tag:blogger.com,1999:blog-6545130559067622234.post-9052244438666538643 Ederington in 1979 for assessing hedging performance. As implied by its name, Ederington’s method measures volatility reduction from a ratio of variances. Ederington, L. H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34(1), 157-170. Frechette, D. L. (2000). The demand for hedging and the value of hedging opportunities. American Journal of Agricultural Economics, 82 (4), 897-907. Gagnon, L. G. J. Lypny, and T. H. McCurdy (1998). Hedging foreign currency portfolios. Journal of Empirical Finance, 5, 197-220. Gray Ederington (1979) proposed an effectiveness measure for futures hedging. Since then, this measure has been widely adopted in the literature to compare different hedge ratios against the OLS Get familiar with to hedge in FOREX. If you are interested in futures and commodity trading and need market forecast with free charts and quotes or want to learn to trade please visit: http://www Scrand & H. Unal - Hedging & Coordinated Risk Management.pdf 139KB<br />C.A.Furia - The Principle of Squares.pdf 6,283KB<br />Caldwell Bancroft - A Process for Prudential Institution.pdf 10,653KB<br />Cap 05c - La teoria di Gann 3,291KB<br />Carl Futia - The Principle of Squares - Key to Stock and Commodity Profits.pdf 1,040KB<br />C. Scrand & H. Unal - Hedging & Coordinated Risk Management hedging, the decision as to whether to hedge or not depends on the future spot exchange rate as determined by a number of forecasting techniques. The techniques include the random walk, the large premia model and a volatility model. The paper considers the USD vis a vis the AUD, SGD and JPY. The results are mixed and show that for the period 1992 to 2003 the Australian exporter is better off markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and international crude oil prices to the foreign exchange market are found to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms of their Ederington (1979) who examined the hedging performance of the New Futures Market (GNMA and T-Bills) then further formalized Johnson „s theory and derived the minimum variance hedge ratio (MVHR) which minimizes the variance of the spot portfolio. He explained that a minimum variance hedge ratio can be defined as the ratio of the covariance between the spot and futures price to the variance of

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