Hedge ratio and time series analysis
Journal
Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes)
Pages
431 - 483
ISBN
9789811202391
9789811202384
Date Issued
2020-01
Author(s)
Abstract
This chapter discusses both static and dynamic hedge ratio in detail. In static analysis, we discuss minimum-variance hedge ratio, Sharpe hedge ratio, and optimum mean-variance hedge ratio. In addition, several time series analysis methods such as the multivariate skew-normal distribution method, the autoregressive conditional heteroskedasticity (ARCH) and generalized autoregressive conditional heteroskedasticity (GARCH) methods, the regime-switching GARCH model, and the random coefficient method are used to show how hedge ratio can be estimated.
Subjects
ARCH method | Cara utility function | Co-integration and error assertion method effectiveness | Garch method | Hedge ratio | Maximum mean extended-gini coefficient hedge ratio | Minimum generalized semi-variance hedge ratio | Minimum value-at-risk hedge ratio multivariable spew-normal distribution method | Minimum variance hedge ratio | Optimum mean meg hedge ratio | Optimum mean variance hedge ratio | Random coefficient method | Regime-switching garch method | Sharpe hedge ratio
Publisher
World Scientific Publishing Co.
Type
book part