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- W1778460147 abstract "This paper investigates hedge investment by using T-bond futures in terms of static and dynamic frameworks to control the interest risk of different types of bondsportfolios. The empirical test shows that the hedge performanceare affected by the correlation between the prices of bonds and treasury futures, the length of the bond remaining term and also the credit risk. Specifically, the CTD bond is always with the best performance by hedging with T-bond futures, and other long term deliverable bonds and financial bonds are also well hedged. While the hedging performance to those short term deliverable bonds are not so good,neither to credit bonds." @default.
- W1778460147 created "2016-06-24" @default.
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- W1778460147 date "2015-01-01" @default.
- W1778460147 modified "2023-09-26" @default.
- W1778460147 title "An Empirical Research on Hedging with T-bond Futures in China" @default.
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- W1778460147 doi "https://doi.org/10.2991/icaicte-15.2015.80" @default.
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