期刊論文
| 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 ) |