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題 名 | Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness? |
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作 者 | Maharaj, Elizabeth A.; Moosa, Imad; Dark, Jonathan; Silvapulle, Param; | 書刊名 | International Journal of Business and Economics |
卷 期 | 7:3 2008.12[民97.12] |
頁 次 | 頁213-230 |
分類號 | 563.538 |
關鍵詞 | Asymmetric hedge ratios; Variance ratio; Variance reduction; Wavelets; |
語 文 | 英文(English) |
英文摘要 | Abstract This paper utilises wavelet analysis, which is becoming popular in economics and finance, to estimate the hedge ratios for spot positions on the West Texas Intermediate crude oil, soybeans and the S&P500 index. This technique is combined with a two-stage regime switching threshold model to estimate asymmetric hedge ratios corresponding to positive and negative returns on futures contracts. Other simple and sophisticated techniques are also used as a benchmark for the purpose of comparison, including the naïve model and the asymmetric error correction GJR-GARCH model. On the basis of the variance ratio test and variance reduction, it is revealed that econometric sophistication does not boost hedging effectiveness. |
本系統中英文摘要資訊取自各篇刊載內容。