期刊名称：International Journal of Econometrics and Financial Management
印刷版ISSN：2374-2011
电子版ISSN：2374-2038
出版年度：2014
卷号：2
期号：3
页码：82-94
DOI：10.12691/ijefm-2-3-1
语种：English
出版社：Science and Education Publishing
摘要：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.
关键词：optima hedge ratio; international hedging; multivariate GARCH; currency risk; hedge effectiveness and efficiency; spot and futures markets
