Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures
提出一种考虑资产长期协整关系和时变分布的二元误差修正GARCH模型，用于估计外汇期货的最优对冲比率，实证表明该模型比传统模型能更有效降低风险，且动态对冲策略的收益足以覆盖交易成本。
Most research on hedging has disregarded both the long-run cointegrating relationship between financial assets and the dynamic nature of the distributions of the assets. This study argues that neglecting these affects the hedging performance of the existing models and proposes an alternative model that accounts for both of them. Using a bivariate error correction model with a GARCH error structure, the risk-minimizing futures hedge ratios for several currencies are estimated. Both within-sample comparisons and out-of-sample comparisons reveal that the proposed model provides greater risk reduction than the conventional models. Furthermore, a dynamic hedging strategy is proposed in which the potential risk reduction is more than enough to offset the transactions costs for most investors.