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 language | English |
|---|---|
| Pages (from-to) | 72-73 |
| Number of pages | 2 |
| Journal | Expo 2012 Higher Degree Research : book of abstracts |
| Publication status | Published - 2012 |
| Event | Higher Degree Research Expo (8th : 2012) - Sydney Duration: 12 Nov 2012 → 13 Nov 2012 |
Keywords
- Dynamic Hedging
- Optimal Hedging ratio
- DCCX model
- Markov regime switching
- State space model