07-025/4 - Dynamic Correlations and Optimal Hedge Ratios

• Authors
  Charles S. Bos, Vrije Universiteit Amsterdam; Phillip Gould, Vrije Universiteit Amsterdam
• Publication date
  February 20, 2007

• Keywords
  Dynamic correlation; multivariate GARCH; stochastic volatility; hedge ratio
• JEL
  C32; C52; G11