Enhancing hedging performance with the spanning polynomial projection

DOI10.1080/14697680701570101MaRDI QIDQ3539545zbMATH OpenOpenAlexFDO

Authors An-Sing Chen, Yanzhen Liu

Publication date 18 November 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680701570101

zbMATH Keywords

derivatives hedgingforecasting abilityforecasting applicationshedging errorshedging techniqueshedging with utility-based preferencesimplementation of optimal hedgingtrading costs

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• The likelihood function of stationary autoregressive-moving average models

Cited in

(1)

• Hedge ratio based on ordinary least squares (OLS) vs. state space methodologies

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