INTEREST RATE HEDGING: AN EMPIRICAL TEST OF ALTERNATIVE STRATEGIES
- 1 September 1983
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 6 (3) , 187-197
- https://doi.org/10.1111/j.1475-6803.1983.tb00327.x
Abstract
For hedging, financial and agricultural futures contracts differ in their usefulness. This paper presents a new hedging approach uniquely appropriate to financial futures that better fits the typical hedging situation confronted by those wishing to hedge interest rate risk. The superiority of this new hedging strategy is demonstrated empirically by comparing the strategy with several other methods currently in use.Keywords
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