The Dynamic International Optimal Hedge Ratio

Xiaochun Liu () and Brian Jacobsen

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Optimal Hedge Ratio; International Hedging; Multivariate GARCH; Currency (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2011-02
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:35260

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