Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

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Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

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作者：Jun Dai^a ; ^{daijun78@wust.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Haigang Zhou^b ; Shaoquan Zhao^c
关键词：Downside risk ; Wavelet decomposition ; Multi-scale hedge ratio
刊名：Physica A: Statistical Mechanics and its Applications
出版年：2017
出版时间：15 January 2017
年：2017
卷：466
期：Complete
页码：502-510
全文大小：454 K

文摘

•: Parametric method with higher moments to compute hedge ratios based on LPM.
•: We compare the hedging performance of different methods.
•: We study impacting factors for hedge ratios and hedging efficiency, respectively.

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