Global Currency Hedging: Evidence from Conditional Coskewness and Cokurtosis

2012 ◽  
Author(s):  
Kalok Chan ◽  
Jian Yang ◽  
Yinggang Zhou
Keyword(s):  
2009 ◽  
Author(s):  
Milagros Vivel Búa ◽  
Luis Otero González ◽  
Sara Fernandez Lopez
Keyword(s):  

Author(s):  
Vincenzo Devito ◽  
Lars Kaiser ◽  
Marco Josef Menichetti ◽  
Aron Veress

2017 ◽  
Author(s):  
Roberto Jose Obregon ◽  
Frank Benham ◽  
Timur Yontar
Keyword(s):  

2002 ◽  
Vol 32 (1) ◽  
pp. 171-197 ◽  
Author(s):  
Gyöngyi Bugár ◽  
Raimond Maurer

AbstractIn this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realise substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.


Sign in / Sign up

Export Citation Format

Share Document