Hedge Ratio and Time-Series Analysis

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
Additional contact information
Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 11 in Financial Econometrics, Mathematics and Statistics, 2019, pp 317-354 from Springer

Abstract: Abstract In this chapter, we theoretically develop alternative hedge ratioHedge ratio models. We then use one of the hedge ratioHedge ratio models and S&P index futures data to show how alternative time-series models can be used to estimate hedge ratioHedge ratio . Time-series models include OLS regression, ARCH modelAutoregressive Conditional Heteroscedasticity (ARCH) , GARCH modelGeneralized Autoregressive Conditional Heteroscedasticity (GARCH) , etc.

Keywords: ARCH method; CARA utility function; Cointegration and error assertion method effectiveness; EGARCH method; GARCH method; Generalized autoregressive conditional heteroscedasticity (GARCH); GJR-GARCH method; Hedge ratio; Maximum mean extended-Gini coefficient hedge ratio; Minimum generalized semivariance hedge ratio; Minimum value at risk hedge ratio; Minimum-variance hedge ratio; Multi variable spew-normal distribution method; Optimum mean-MEG hedge ratio; Optimum mean-variance hedge ratio; Random coefficient method; Regime-switching GARCH method; Sharpe hedge ratio; TGARCH method (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_11

Ordering information: This item can be ordered from
http://www.springer.com/9781493994298

DOI: 10.1007/978-1-4939-9429-8_11

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().