TY  - RPRT
AU  - Chang, Chia-Lin
AU  - González Serrano, Lydia
AU  - Jiménez Martín, Juan Ángel
PY  - 2012
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/49082
AB  - This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of...
LA  - eng
KW  - Multivariate GARCH
KW  - Conditional correlations
KW  - Exchange rates
KW  - Optimal hedge ratio
KW  - Optimal portfolio weights
KW  - Hedging strategies.
TI  - Currency Hedging Strategies Using Dynamic Multivariate GARCH
TY  - technical report
VL  - 2012
ER  -