為替レート、為替ヘッジ、アルファに関する論文集

• テクニカル分析の有効性(またはアルファ獲得)に関する論文集

Helen  Allen and Mark P. Taylor(1990).' Charts, Noise and Fundamentals in the London Foreign Exchange Markets.' The Economic Journal,   100, (1990), p.49-59

Christopher Neely, Paul Weller, and Rob Dittmar. 'Is Technical Analysis in the Foreign Exchange Market Profitable? A genetic Programming Approach' Journal of Financial and Quantitative Analysis, Vol. 32, No.4,(1997 December),405-426

Thomas B. Hazuka and Lex C. Huberts, 'The Merits of Active Currency Risk Management: Evidence from International Bond Portfolios', Financial Analysts Journal, September-October 1993

• ファンダメンタル分析の有効性(またはアルファ獲得)に関する論文集

Patrick K. Asea and Enrique G. Mendoza, 'Do Long-Run Productivity Differentials Explain Long-Run Real Exchange Rates?' IMF Working Paper, May 1994

Jeremy Berkowitz and Lorenzo Giorgianni, 'Long-Horizon Exchange Rate Predictability?' IMF Working Paper, January 1997

Hamid Faruqee, 'Long-Run Determinants of the Real Exchange Rate: A stock-Flow Perspective', IMF Staff Papers, Vol 42, No.1 (March 1995)

Hamid Farquee, 'Long-Run Determinants of the Real Exchange Rate: A stock-Flow Perspective', IMF Working Paper, August 1994

Thomas B. Hazuka and Lex C. Huberts, 'A Valuation Approach to Currency Hedging', Financial Analysts Journal, March-April 1994

Ronald MacDonald and Mark P Taylor, 'The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting', IMF Working Paper, May 1992

Ronald MacDonald, 'Long-Run Exchange Rate Modeling: A survey of the Recent Evidence', IMF Working Paper, January 1995

Ronald MacDonald, 'What Determines Real Exchange Rates? The Long and Short of It', IMF Working Paper, January 1997

John McDermott, 'Estimation of the Near Unit Root Model of Real Exchange Rates', IMF Working Paper, May 1996

Eric J. Pentecost, Exchange rate dynamics, the modern analysis of exchange rate theory and evidence, Edward Elgar Publishing Company, 1993

• その他の収益改善に関する論文集

Ira G.Kawaller, 'Foreign Exchange Hedge Management Tools: A Way to Enhance Performance', Financial Analysts Journal, September-October 1993

Masaki Tsumagari and Arun Muralidhar, 'A matter of style', Futures & OTC World, Metal Bulletin plc, Currency: Risk & Reward April 1999,

• アルファの測定に関する論文集

Hayne E. Leland 'Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World' Financial Analysts Journal, January/February 1999

• ヘッジ比率に関する論文

F. Black, 'Universal Hedging: How to Optimize Currency Risk and Reward in International Equity Portfolios', Financial Analysts Journal, July/August 1989

Fischer Black, 'Equilibrium Exchange Rate Hedging', The Journal of Finance, Vol. XLV, No.3, July 1990

Mark Kritzman, 'The Minimum-Risk Currency Hedge Ratio and Foreign Asset Exposure', Financial Analysts Journal, September-October 1993

Stephen L. Nesbitt, 'Currency Hedging Rules for Plan Sponsors', Financial Analysts Journal, March-April 1991

• 為替レートの変動性に関する論文

Torben G. Andersen and Tim Bollerslev, 'Answering the skeptics: Yes, standard volatility models do provide accurate forecasts', International Economic Review, Vol. 39, No.4, November 1998

Torben G. Andersen and Tim Bollerslev, 'Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies', The Journal of Finance, Vol LIII,No.1,February 1998

Leonardo Bartolini and Gordon M. Bodnar, 'Are Exchange Rates Excessively Volatile? And What Does "Excessively Volatile" Mean, Anyway?' OMF Staff Papers, Vol.43,No.1(March 1996)

R.P. Degennaro and R.E.Shrieves, 'Public information releases, private information arrival and volatility in the foreign exchange market', Journal of Empirical Finance, Volume4, No.4, Corrected version December 1997

R.F Engle and J.R. Russell, 'Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model', Journal of Empirical Finance, Volume4, No.2-3, Corrected version December 1997

S.J. Taylor and X.Xu, 'The incremental volatility information in one million foreign exchange quotations', Journal of Empirical Finance, Volume4, No.4, Corrected version December 1997

Kenneth D. West and Dongchul Cho, 'The predictive ability of several models of exchange rate volatility', Journal of Econometrics 69 (1995) 367-391

• カレンシーオプションに関する論文

Naahum Biger and John Hull, 'The Valuation of Currency Options', Financial Management, Spring 1983

Jose Manuel Campa and P.H. Kevin Chang, 'Arbitrage-Based Tests of Target-Zone Credibility: Evidence from ERM Cross-Rate Options', The American Economic Review, September 1996

Mark B. Garman and Steven W. Kohlhagen, 'Foreign Currency Option Values', Journal of International Money and Finance, 2, 1983

J.Orlin Grabbe, 'The Pricing of Call and Put Options on Foreign Exchange', Journal of International Money and Finance, 2, 1983

Eric Reiner, 'Quanto Mechanics', Risk Vol.5/No 3/March 1992

• 　その他リスクコントロールに関する書籍、論文

Donald L.Luskin, 'Porfolio Insurance A guide to dynamic hedging', Jphn Wiley & Sons 1988

Hayne E. Leland,'Option Repliction with Transaction Costs', Journal of Finance, 1985

Devid F. DeRosa, Managing Foreign Exchange Risk, revised edition, Irwin Professional Publishing, 1996

• その他の推薦図書

Hohn Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997

Espen Gaarder Haug, 'The Complete Guide to Option Pricing Formulas:' McGraw-Hill,1998

Andrew W. Lo and A. Craig MacKinlay, A Non-Random Walk Down Wall Street, Princeton University Press, 1999

Terence C. Mills, The Econometric Modeling of Financial Time Series, Cambridge University Press, 1993

Imad A. Moosa, Exchange Rate Forecasting: Techniques and Applications, St. Martin's Press, 2000

Andrei Shleifer, Inefficient Markets: An Introduction to behavioural finance, Oxford University Press, 1999

Nassim Taleb, 'Dynamic Hedging:: managing vanilla and exotic options' John Wiley & Cons, Inc., 1997