This paper examines the relation between expected stock returns and their conditional
volatility over different holding periods and across different states of the economy …

Unless a direct hedge is available, cross hedging must be used. In such circumstances
portfolio theory implies that a composite hedge (the use of two or more hedging instruments …

During the recent European sovereign debt crisis, returns on EMU government bond
portfolios experienced substantial volatility clustering, leptokurtosis and skewed returns as …

This paper contributes to the debate concerning the benefits and disadvantages of
introducing a European Sovereign Bond-Backed Securitisation (SBBS) to address the need …

This article examines the impact of macroeconomic announcements on corporate bond
prices and investor migrations across various types of bonds over time. In addition, the …

布雷顿森林体系解体后. 国债期货因具有规避利率风险, 促进价格发现的核心功能成为全球重要
的利率风险管理工具. 本文针对我国国债期货仿真交易的实证研究表明. 国债期货仿真交易已 …

We examine Treasury bond and stock index futures, the swap curve and two types of
hypothetical corporate bond assets as alternative hedging instruments for portfolios of …

This study investigates the effectiveness of the Tokyo Stock Exchange (TSE)-traded
Japanese 10-year JGB futures contract to hedge portfolios of Japanese bonds of differing …

Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

Zusammenfassung Das wichtigste Einsatzgebiet von Derivaten ist die Absicherung gegen
Kursverluste. Am Ende steht die Antwort auf die Frage, wie viele Kontrakte man zu diesem …