The role of long memory in hedging effectiveness

DOI10.1016/J.CSDA.2007.10.019MaRDI QIDQ1023640zbMATH OpenOpenAlexFDO

Authors Jerry Coakley, Jian Dollery, Neil Kellard

Publication date 12 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2007.10.019

zbMATH Keywords

fractional cointegrationcommoditiesFIEC-BEKKoptimal hedge ratio

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Gaussian semiparametric estimation of long range dependence
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• Log-periodogram regression of time series with long range dependence
• Non-stationary log-periodogram regression
• Residual log-periodogram inference for long-run relationships
• Semiparametric estimation in perturbed long memory series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(3)

• Type I and type II fractional Brownian motions: a reconsideration
• Editorial: Special issue on statistical and computational methods in finance
• The model reset and the efficiency of futures hedging

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