Recognizing that a country's commodity prices, foreign exchange rates, and export earnings are related, earlier studies developed an optimal portfolio model based on an integrated approach. But the estimates were inefficient because they summed that the time series data used in the model were stationary. As a result, the model produced unstable solutions that were sensitive to exogenous changes. Many economic time series - include aggregate consumption...
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INFORMATION
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1994/03/31
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Document de travail de recherche sur les politiques
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WPS1279
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1
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1
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2010/07/01
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Optimal hedging strategy revisited : acknowledging the existence of nonstationary economic time series
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commodity price
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