Evaluation of realized multi-power variations in minimum variance hedging
學年 104
學期 1
出版（發表）日期 2015-12-01
作品名稱 Evaluation of realized multi-power variations in minimum variance hedging
作品名稱（其他語言）
著者 Jui-Cheng Hung
單位
出版者
著錄名稱、卷期、頁數 Economic Modelling, 51, Pp.672-679
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.
關鍵字 Realized multi-power variations; Minimum variance strategy; Realized DCC-GARCH model; Transaction costs
語言 en
ISSN 0264-9993
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126737 )