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

DOI10.1080/14697688.2012.696677MaRDI QIDQ5745646zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• The impact of investor's view on hedging effectiveness
• Research on optimal hedging ratio of Chinese stock market based on higher moments HAR model
• Hedging mean-reverting commodities
• Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
• The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets

Cites work

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

Cited in

(3)

• Portfolio choice with skewness preference and wealth-dependent risk aversion
• scientific article; zbMATH DE number 5010393 (Why is no real title available?)
• Dynamic hedging with futures: a copula-based GARCH model with high-frequency data

This page was built for publication: An empirical study of the impact of skewness and kurtosis on hedging decisions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745646)