@article{6b599c448cee4f5f8db6df51820f4d24,
title = "Dynamic Futures Hedging in Currency Markets",
keywords = "Dynamic futures, Hedging, Currency markets",
author = "John Barkoulas and A. Chakraborty",
note = "The hedging effectiveness of dynamic strategies is compared with static (traditional) ones using futures contracts for the five leading currencies. The traditional hedging model assumes time invariance in the joint distribution of spot and futures price changes thus leading to a constant optimal hedge ratio (OHR).",
year = "1999",
language = "American English",
volume = "5",
journal = "European Journal of Finance",
issn = "1351-847X",
publisher = "Routledge",
}