Show simple item record

dc.contributor.authorKenneally, Martin
dc.contributor.authorCronin, David
dc.date.accessioned2012-08-31T13:59:06Z
dc.date.available2012-08-31T13:59:06Z
dc.date.issued1994
dc.identifier.citationKenneally, Martin; Cronin, David. 'Dynamic hedging with the IFOX long gilt futures: new evidence'. - Economic & Social Review, Vol. 25, No. 2, January, 1994, pp. 135-155, Dublin: Economic & Social Research Institute
dc.identifier.issn0012-9984
dc.identifier.urihttp://hdl.handle.net/2262/64817
dc.description.abstractThis paper assesses the hedging effectiveness of the IFOX long gilt futures contract. The paper builds on earlier work by Hogan which was hindered by small sample size, thin trading and incomplete specification of the data generation process. We establish that spot and futures long gilt prices are cointegrated and hence have an error correction representation. We test a number of nested sub-models and find some support for the contention that equilibrium spot and futures are unit elastic. The hedging effectiveness of the futures contract is high, and dynamic hedging strategies which enhance effectiveness are established.en
dc.language.isoen
dc.publisherEconomic & Social Studies
dc.sourceEconomic & Social Reviewen
dc.subjectHedgingen
dc.subjectIFOXen
dc.subjectGilt marketen
dc.subjectFutures marketen
dc.titleDynamic hedging with the IFOX long gilt futures: new evidence
dc.typeJournal Article
dc.publisher.placeDublinen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record