The Cross-Currency Hedging Performance of Implied Versus Statistical Forecasting Models
نویسندگان
چکیده
منابع مشابه
The cross-currency hedging performance of implied versus statistical forecasting models
This paper examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate GARCH models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and ...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2001
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.2104