Optimal hedge ratio estimation and effectiveness using ARCD

DOI10.1002/FOR.1249MaRDI QIDQ4687305zbMATH OpenOpenAlexFDO

Authors Eleftheria Kostika, Raphael N. Markellos

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1249

zbMATH Keywords

asymmetriesconditional variations in momentsfinancial returnsthick tails

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(9)

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• Research on optimal hedging ratio of Chinese stock market based on higher moments HAR model
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