Lai, Yihao; Chung, Wei-Shih; Chen, Jiaming - In: Studies in Economics and Finance 36 (2019) 3, pp. 395-407
Purpose: This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging performance of presenting a model with that of a conventional rolling ordinary-least-square (OLS) hedging model....