Yu, Xing; Li, Yanyan; Shen, Xilin; Rao, Yunjie; Liu, Yongjun - In: Borsa Istanbul Review 22 (2022) 6, pp. 1221-1237
-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways. First, it uses the … a better trade-off between risk hedging and return acquisition. Specifically, we first improve the accuracy of parameter …-type models and compare the hedging effects of no hedge, model-driven, and state-dependent strategies. Our empirical results show …