Currency hedging strategies using dynamic multivariate GARCH

DOI10.1016/J.MATCOM.2012.02.008MaRDI QIDQ2227443zbMATH OpenOpenAlexFDO

Authors Chialin Chang, Lydia González-Serrano, Juan-Angel Jimenez-Martin

Publication date 15 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://eprints.ucm.es/id/eprint/14831/1/1207.pdf

zbMATH Keywords

exchange rateshedgingmultivariate GARCH

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• An econometric analysis of asymmetric volatility: theory and application to patents
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Dynamic hedging with foreign currency futures in the presence of jumps
• Empirical modeling of exchange rate dynamics
• Forecasting conditional correlations in stock, bond and foreign exchange markets
• Generalized autoregressive conditional heteroscedasticity
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

Cited in

(11)

• Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
• Hedging the exchange rate risk for international portfolios
• Dynamic currency futures and options hedging model
• The optimal multi-period hedging model of currency futures and options with exponential utility
• Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
• Hedging with S&P500 and E-mini S&P500 stock index futures
• Dynamic hedging with foreign currency futures in the presence of jumps
• Optimal hedge ratio estimation and effectiveness using ARCD
• The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro
• Cross Currency Valuation and Hedging in the Multiple Curve Framework
• Hedging effectiveness of stock index futures

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