The Dynamic International Optimal Hedge Ratio

Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., the U.K., and Japan.

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Year of publication:	2011-02
Authors:	Liu, Xiaochun ; Jacobsen, Brian

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Liu, Xiaochun and Jacobsen, Brian (2011): The Dynamic International Optimal Hedge Ratio.
Classification:	G11 - Portfolio Choice
Source:	BASE

Persistent link: https://www.econbiz.de/10015229656