Теоретическое обоснование Рынок пфи, валютный риск и инструменты хеджирования
 Скачать 2 Mb.
|
Список литературы1. Bos C.S., Mahieu R.J. and van Dijk H.K. (2000), "Daily Exchange Rate Behaviour and Hedging of Currency Risk", Journal of Applied Econometrics, Vol. 15 No.6, pp. 671-696. . Campbell J., de Medeiros K.S & Viceira L (2010), "Global Currency Hedging", Journal of Finance, vol. 65, issue 1, pp. 87-121. . Chang C., Gonzalez-Serrano L. and Jimenez-Martin J. (2013), "Currency Hedging Strategies sing Dynamic Multivariate GARCH", Mathematics and Computers in Simulation, Vol.94, pp.164-182. . Chowdhurry A.R. (1991), "Future Market Efficiency: Evidence from Cointegration Tests", Journal of Futures Markets, Vol.11No.5, pp.577-589. . Eaker M.R. and Grant D.M. (1987), "Cross-Hedging Foreign Currency Risk", Journal of International Money and Finance, No. 6, pp. 85-105. . Ederington L.H. (1979), "The Hedging Performances of the New Futures Markets", Journal of Finance, No.34, pp.157-170. . Fama E.F.(1970), "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, No.25, pp.383-417. . Frenkel J.A. (1978), "Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s", Journal of International Economics, Vol.8, pp.169-191. . Frenkel J.A. (1979), "Further Evidence on Expectations and the Demand for Money during the German Hyperinflation", Journal of International Economics, Vol.5, pp.81-96. . Goss B. (1981), "The Forward Pricing Function of the London Metal Exchange", Applied Economics, No. 13, pp.133-150. . Granger C.W. and Newbold P. (1986), "Forecasting Economic Time Series", 2nd ed., New York: Academic Press. . Gupta S. and Mayer T. (1981), A Test of the Efficiency of Futures Markets in Commodities", Weltwirtschaftliches Archiv, No.117, pp.661-671. . Hakkio G.S. and Rush M. (1989), "Market Efficiency and Cointegration: an Application to the Sterling and Deutschemark Exchange Markets", Journal of International Money and Finance, Vol. 8, pp.75-88. . Hein S.E., Ma C.K. and MacDonald S.S. (1990), "Testing Unbiasedness in Futures Markets: A Classification", Journal of Futures Markets, Vol.10 No.5, pp.555-562. . Hill and Schneeweis (1984), "Reducing Volatility with Financial Futures", Financial Analysts Journal, Vol.40, No.6, pp.34-40. . Hull J.C. (2008), "Options, Futures and Other derivatives", 6th ed., Prentice-Hall: Englewood Cliffs, NJ. . Kofi T.A. (1973), "A Framework for Comparing the Efficiency of the Live Cattle Futures Market", American Journal of Agricultural Economics, No.55, pp.584-594. . Laws J. and Thompson J. (2004), "The Efficiency of Futures Markets: Tests of Prediction Accuracy", European Journal of Operational Research, No. 155, pp. 284-298. . Leuthold R.M. and Hartman P.A. (1979), "A Semi-Strong From Evaluation of the Efficiency of the Hog Futures Market", American Journal of Agricultural Economics, No.61, pp.482-489. . MacDonald R. and Taylor M.P. (1988), "Foreign Exchange Market Efficiency and Cointegration: Some Evidence from the Recent Float", Economics Letters, Vol.26, pp. 63-68. . Naidu G.N. and Shin T.S. (1981), "Effectiveness of Currency Future Market in Hedging Foreign Exchange Risk", Management International Review, Vol. 21 No.4, pp.5-16. . Reboredo J.C., Rivera-Castro M.A. and Zebende G.F. (2014) "Oil and US dollar Exchange Rate Dependence: A Detrended Cross-correlation Approach", Energy Economics, Vol.42, pp.132-139. . Rong C. and Zhen-long Z. (2008), "Unbiased Estimation, Price Discovery, and Market Efficiency: Futures Prices and Spot Prices", Systems Engineering - Theory & Practice, Vol.28 Issue 8, pp.2-11. . Sanders D.R. and Manfredo M.R. (2004), "Comparing Hedging Effectiveness: An Application of the Encompassing Principle", Journal of Agricultural and Resource Economics, Vol. 29, No. 1, pp.31-44. Российские источники: 25. Колоколов А. (2011), «Хеджирование фьючерсами: многомерные GARCH с динамическими условными корреляциями», Квантиль, №9, стр.61-75. . Лялин В.А. (2015), «Становление и развитие российского рынка производных финансовых инструментов», Финансово-кредитная система, бюджетное и валютное регулирование экономики, инвестиционные ресурсы, №8, стр 135-138. . Тюкавкин Н.М. «Российский рынок деривативов», 2014 год, Вестник СамГУ. Электронные ресурсы: 28. Сайт Центрального Банка России // Режим доступа: . Сайт Московской биржи // Режим доступа: |