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Optimal dynamic hedging portfolios and the currency composition of external debt

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  • Kroner, Kenneth F.
  • Claessens, Stijn

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 10 (1991)
Issue (Month): 1 (March)
Pages: 131-148

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Handle: RePEc:eee:jimfin:v:10:y:1991:i:1:p:131-148

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Web page: http://www.elsevier.com/locate/inca/30443

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Cited by:
  1. Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan, 2005. "Hedging with Foreign-listed Single Stock Futures," MPRA Paper 52372, University Library of Munich, Germany.
  2. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
  3. Lien, Donald & Yang, Li, 2004. "Alternative settlement methods and Australian individual share futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 473-490, December.
  4. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
  5. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA.
  6. Mario Jovanović, 2009. "Serbian foreign exchange market during 2004-2008," SEEMHN papers 19, National Bank of Serbia.
  7. Mun, Kyung-Chun & Emir Morgan, George, 2003. "Bank foreign exchange and interest rate risk management: simultaneous versus separate hedging strategies," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 277-297, July.
  8. Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H., 1998. "Hedging foreign currency portfolios," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 197-220, September.
  9. Haigh, Michael S. & Holt, Matthew T., 1999. "Volatility Spillovers Between Foreign Exchange, Commodity And Freight Futures Prices: Implications For Hedging Strategies," Faculty Paper Series 23997, Texas A&M University, Department of Agricultural Economics.
  10. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  11. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
  12. Coleman, Jonathan R. & Ying Qian, 1991. "Managing financial risks in Papua New Guinea : an optimal external debt portfolio," Policy Research Working Paper Series 739, The World Bank.

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