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Antell, J., Vaihekoski, M., 2007. International asset pricing models and currency risk Evidence from Finland 1970-2004. Journal of Banking and Finance 31 (9), 2571-2590

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Article

The Dynamic International Optimal Hedge Ratio

1Department of Economics, Emory University, Atlanta, United States

2Chief Portfolio Strategist, Wells Fargo Funds Management, LLC, Milwaukee, United States


International Journal of Econometrics and Financial Management. 2014, Vol. 2 No. 3, 82-94
DOI: 10.12691/ijefm-2-3-1
Copyright © 2014 Science and Education Publishing

Cite this paper:
Xiaochun Liu, Brian Jacobsen. The Dynamic International Optimal Hedge Ratio. International Journal of Econometrics and Financial Management. 2014; 2(3):82-94. doi: 10.12691/ijefm-2-3-1.

Correspondence to: Xiaochun  Liu, Department of Economics, Emory University, Atlanta, United States. Email: xiaochun.liu@emory.edu

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.

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