Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management

Authors :: Yuan-Hung Hsu Ku
Source :: Applied Economics. July-August, 2008, Vol. 40 Issue 13-15, p1685, 13 p.
Publication Year :: 2008
Abstract: A comparison on the hedging efficiency of hypothetical portfolios consisting of stock and currency future positions was conducted to justify the multivariate Student-t distribution based on the DCC-MGARCH model. Findings indicate that there are no significant leading-lagging relationships among the currency and stock markets in terms of their returns.

Subjects :: Distribution (Probability theory) -- Research
Portfolio management -- Methods
Risk management -- Methods
Risk management
Business
Business, general
Economics

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