The Dynamic International Optimal Hedge Ratio
AbstractInstead 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35260.
Date of creation: Feb 2011
Date of revision:
Optimal Hedge Ratio; International Hedging; Multivariate GARCH; Currency;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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