The covariance of the change in spot exchange rates and the change in futures exchange rates is

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The covariance of the change in spot exchange rates and the change in futures exchange rates is 0.8250. The variance of the change in futures exchange rates is 0.53.

What is the estimated hedge ratio for this currency?

Related Book For answer-question

Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Jul 03, 2023 12:34 AM

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The covariance of the change in spot exchange rates and the change in futures exchange rates is

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Fundamentals of Futures and Options Markets

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