Hedging gold and oil portfolio by US dollar in different regimes

Ning Rong

Research output: Contribution to journalMeeting abstract

Abstract

The purpose of this paper is to examine optimal hedging strategies for currency-commodity portfolios by a model that incorporates regime switching dynamics into the correlation structure between gold, oil and exchange rates between the US dollar and commodity currencies such as the Australian dollar and the Canadian dollar.
Original languageEnglish
Pages (from-to)72-73
Number of pages2
JournalExpo 2012 Higher Degree Research : book of abstracts
Publication statusPublished - 2012
EventHigher Degree Research Expo (8th : 2012) - Sydney
Duration: 12 Nov 201213 Nov 2012

Keywords

  • Dynamic Hedging
  • Optimal Hedging ratio
  • DCCX model
  • Markov regime switching
  • State space model

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