Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement

Keyphrases

• Return Comovement 100%
• Multi-asset Portfolio 100%
• Optimal Hedge Ratio 100%
• Hedge Effectiveness 100%
• Hedge Ratio 100%
• Biased Estimation 50%
• Investment Horizon 50%
• London Metal Exchange 50%
• Wavelet 50%
• Copula 50%
• Heterogeneous Investment 50%
• Multivariate GARCH Models 50%

INIS

• metals 100%
• assets 100%
• accounting 100%
• comparative evaluations 50%
• investment 50%
• correlations 50%
• yields 50%
• multivariate analysis 50%
• specifications 50%
• commodities 50%

Economics, Econometrics and Finance

• Generalized Autoregressive Conditional Heteroskedasticity 100%