Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales

Physica A: Statistical Mechanics and its Applications

Volumn 405, Issue , 2014, Pages 70-79

  Wang, Gang Jin ^a   Xie, Chi ^a   He, Ling Yun ^b   Chen, Shou ^a  

^a HUNAN UNIVERSITY   (China)

^b CHINA AGRICULTURAL UNIVERSITY   (China)

Author keywords

Detrended MV hedge ratio; Futures market; Hedging; Hedging effectiveness; Minimum variance (MV) hedge ratio; Time scales

Indexed keywords

TIME MEASUREMENT; WOODEN FENCES;

COVARIANCE FUNCTION; DETRENDED CROSS-CORRELATION ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; DIFFERENT TIME SCALE; HEDGE RATIO; HEDGING; HEDGING EFFECTIVENESS; TIME-SCALES;

FINANCIAL MARKETS;

EID: 84896506915     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2014.03.010     Document Type: Article

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