Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures
Year of publication: |
2019
|
---|---|
Authors: | Qu, Hui ; Wang, Tianyang ; Zhang, Yi ; Sun, Pengfei |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 57.2019, p. 1-14
|
Subject: | Hedging effectiveness | High-frequency data | Out-of-sample forecasting | Realized minimum-variance hedge ratio | Tracking error | Volatility regime | Hedging | Volatilität | Volatility | Index-Futures | Index futures | ARCH-Modell | ARCH model | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection |
-
Hedging Bitcoin with conventional assets
Nekhili, Ramzi, (2022)
-
Evaluating the performance of futures hedging using factors-driven realized volatility
Yu, Xing, (2022)
-
Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Lai, Yu-Sheng, (2022)
- More ...
-
Qu, Hui, (2018)
-
Qu, Hui, (2024)
-
Qu, Hui, (2022)
- More ...