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

DOI10.1080/14697688.2012.696677zbMATH Open1280.91202OpenAlexW1992526784MaRDI QIDQ5745646FDOQ5745646

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

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zbMATH Keywords

\(S_U\)-normal distributionskewness and kurtosisfutures hedging

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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

Cited In (3)

• Portfolio choice with skewness preference and wealth-dependent risk aversion
• Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
• Title not available (Why is that?)

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