Dynamic currency hedging with non-Gaussianity and ambiguity-Reference-Cited by-同舟云学术

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Dynamic currency hedging with non-Gaussianity and ambiguity

Published:2024-01-31 Issue:2 Volume:24 Page:305-327
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Polak Paweł¹^ORCID,Ulrych Urban²^ORCID

Affiliation:

1. Department of Applied Mathematics and Statistics, Institute for Advanced Computational Science, Stony Brook University, 100 Nicolls Rd, Stony Brook, NY 11794-3600, USA

2. Department of Banking and Finance, University of Zurich & Swiss Finance Institute, Plattenstrasse 32, Zurich 8032, Switzerland

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2301419

Reference78 articles.

1. Optimal and Naive Diversification in Currency Markets

2. Principal component models for generating large GARCH covariance matrices;Alexander C.;Economic Notes by Banca Monte dei Paschi di Siena SpA,2002

3. Hedging foreign exchange rate risk: Multi-currency diversification

4. The impact of risk and uncertainty on expected returns☆

5. Measuring Economic Policy Uncertainty*

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