Evaluation of realized multi-power variations in minimum variance hedging

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 期刊論文 > Item 987654321/32083

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/32083

题名:	Evaluation of realized multi-power variations in minimum variance hedging
作者:	Hung, Jui-Cheng
贡献者:	財金系
关键词:	Realized multi-power variations Minimum variance strategy Realized DCC-GARCH model Transaction costs
日期:	2015-12
上传时间:	2016-02-26 09:33:42 (UTC+8)
摘要:	This study investigated the hedging performance of realized multi-power variations under minimum variance strategy. The minimum variance hedge ratios are estimated by the realized DCC-GARCH model, and the risk and utility metrics are used to evaluate the performances of long and short hedge. The empirical results derived from the S&P 500 index demonstrated that the realized DCC-GARCH model with realized tri-power variation outperforms others in reducing risks, and generates largest economic benefits. While considering transaction costs, the superiority of the realized DCC-GARCH model with realized multi-power variations persists and produced less rebalancing costs than the realized DCC-GARCH model with realized variance. (C) 2015 Elsevier B.V. All rights reserved.
關聯:	ECONOMIC MODELLING 卷: 51 頁碼: 672-679
显示于类别:	[財務金融學系 ] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	276	检视/开启

检视Licence

在CCUR中所有的数据项都受到原著作权保护.