The quality of volatility traded on the over-the-counter currency market: a multiple horizons study
Article Abstract:
Previous research into the quality of market-forecasting volatility utilized the volatility implied in exchange-traded option prices. These study uses the implied volatility found in over-the-counter currency markets, thereby, circumventing some of the problems caused by variable measurement errors.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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On the optimal mix of corporate hedging instruments: linear versus nonlinear derivatives
Article Abstract:
This article examines how firms should best select their mix of nonlinear and linear derivatives. A model is offered in which a company facing both output and market risks manages to optimize its planned profits even though subject to cost distress.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Volatility and trading demands in stock index futures
Article Abstract:
This study examines how futures-risk-premium and volatility influence trading demands for the speculation and hedging of futures contracts on Standards and Poor's 500 Stock Index.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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