An empirical study of the impact of skewness and kurtosis on hedging decisions

DOI10.1080/14697688.2012.696677zbMath1280.91202OpenAlexW1992526784MaRDI QIDQ5745646

Jing-Yi Lai

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.696677

zbMATH Keywords

\(S_U\)-normal distributionskewness and kurtosisfutures hedging

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Dynamic hedging with futures: a copula-based GARCH model with high-frequency data ⋮ Portfolio choice with skewness preference and wealth-dependent risk aversion

Cites Work

• Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
• An application and comparison of some flexible parametric and semi-parametric qualitative response models
• Generalized autoregressive conditional heteroscedasticity
• Financial Data and the Skewed Generalized T Distribution
• Proper Risk Aversion
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Risk, Return, Skewness and Preference
• Autoregressive Conditional Density Estimation
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Standard Risk Aversion

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