Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10001123909
Persistent link: https://www.econbiz.de/10001132529
Persistent link: https://www.econbiz.de/10003922321
Persistent link: https://www.econbiz.de/10001210558
Persistent link: https://www.econbiz.de/10000979027
Persistent link: https://www.econbiz.de/10001144471
Persistent link: https://www.econbiz.de/10001695284
Persistent link: https://www.econbiz.de/10000979266
Persistent link: https://www.econbiz.de/10000989912
This paper derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk. We find...
Persistent link: https://www.econbiz.de/10013158084