Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method
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- 作者：Jun Daia ; daijun78@wust.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Haigang Zhoub ; Shaoquan Zhaoc
- 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
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Parametric method with higher moments to compute hedge ratios based on LPM.
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We compare the hedging performance of different methods.
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We study impacting factors for hedge ratios and hedging efficiency, respectively.