Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies

Since their introduction in the early 1970s, currency futures have become increasingly popular. Dubofski (1992, p. 314) points out that from October, 1989 to September, 1990 only, the Chicago Mercantile Exchange traded more than 7 million futures contracts on German marks and more than 9 million futures contracts on Japanese yen. These contracts are mainly used to hedge currency risk.