TY  - RPRT
AU  - González-Serrano, Lydia
AU  - Jiménez Martín, Juan Ángel
PY  - 2011
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/49034
AB  - This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures...
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 MultivariateGARCH
TY  - technical report
VL  - 2011
ER  -