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The Dynamic International Optimal Hedge Ratio

Author

Listed:
  • Liu, Xiaochun
  • Jacobsen, Brian

Abstract

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.

Suggested Citation

  • Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:35260
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Optimal Hedge Ratio; International Hedging; Multivariate GARCH; Currency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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    This paper has been announced in the following NEP Reports:

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