Pregled bibliografske jedinice broj: 819977
Building currency portfolios in Croatia: Multivariate GARCH approach
Building currency portfolios in Croatia: Multivariate GARCH approach // Proceedings of 1st International Conference on Financial Analysis / Dedi, Lidija ; Orsag, Silvije (ur.).
Zagreb: Croatian Association of Financial Analysts, 2016. str. 164-171 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 819977 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Building currency portfolios in Croatia: Multivariate GARCH approach
Autori
Škrinjarić, Tihana
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of 1st International Conference on Financial Analysis
/ Dedi, Lidija ; Orsag, Silvije - Zagreb : Croatian Association of Financial Analysts, 2016, 164-171
ISBN
978-953-346-0265-1
Skup
1st International Conference on Financial Analysis
Mjesto i datum
Dubrovnik, Hrvatska, 01.06.2016. - 03.06.2016
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
exchange rate; portfolio; MGARCH; volatility; Croatian market
Sažetak
This paper addresses possibilities of forming and rebalancing currency portfolios in Croatia. Using daily data from January 2nd 2010 to October 12th 2015 for exchange rate on Euro, American Dollar and Swiss Franc against Croatian Kuna, several multivariate GARCH models will be examined. The goal is to find the best model which describes the movements of currency returns. This methodology enables us to model not only the currency volatilities, but also co-movements of volatilities as well. In that way, investor can estimate risks and hedge ratios on a daily basis and rebalance his portfolio accordingly. The results of the analysis indicate that the output from MGARCH methodology should be taken into account when forming and rebalancing portfolios.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
