This study investigates efficiency of the futures hedge implemented through the currency
markets. The copula DCC-EGARCH model is estimated with the bivariate error correction …

The sovereign debt crisis challenged investors in European government bonds to deal with
volatile interest rate spreads. For managing sovereign risk,“Eurex” introduced futures …

This paper introduces a sparse and stable optimization approach for multi-currency asset
allocation, aiming to improve portfolio performance and currency risk management. We …

Purpose This paper aims to investigate the efficiency of different hedging strategies for an
investor holding a portfolio of foreign currency bonds. Design/methodology/approach The …

This paper examines the issue of optimal currency allocation for an international investor
who is both risk-and ambiguity-averse. Utilizing a robust mean–variance model that …

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. It provides theoretical and empirical evidence that …

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be …

We examine the influence of quantitative easing (QE) in the United States on hedging
effectiveness and performance (E&P) of international bond portfolios. During the QE period …

I am thankful to many people for guiding me through my Ph. D. studies. First and foremost, I
would like to express my deepest gratitude to my advisor, Prof. Dr. Erich Walter Farkas, for …

This study aims to identify efficient strategies for protecting the Indonesian Rupiah (IDR)
against depreciation relative to several foreign currencies (USD, JPY, EUR, CNY, SGD). The …