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
|
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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
|
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出版型式
|
,電子版 |