eng Science and Education Publishing International Journal of Econometrics and Financial Management 2014-06-09 2 3 82 94 10.12691/ijefm-2-3-1 IJEFM2014231 article Xiaochun Liu xiaochun.liu@emory.edu 1 Brian Jacobsen 2 Department of Economics, Emory University, Atlanta, United States Chief Portfolio Strategist, Wells Fargo Funds Management, LLC, Milwaukee, United States 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. http://pubs.sciepub.com/ijefm/2/3/1/ijefm-2-3-1.pdf optima hedge ratio international hedging multivariate GARCH currency risk hedge effectiveness and efficiency spot and futures markets