Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales
In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at differ...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Wang, Gang-Jin [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2014transfer abstract |
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| Schlagwörter: |
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| Umfang: |
10 |
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| Übergeordnetes Werk: |
Enthalten in: Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study - Dai, Jiamiao ELSEVIER, 2022, europhysics journal, Amsterdam |
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| Übergeordnetes Werk: |
volume:405 ; year:2014 ; day:1 ; month:07 ; pages:70-79 ; extent:10 |
| Links: |
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| DOI / URN: |
10.1016/j.physa.2014.03.010 |
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ELV022728325 |
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| 520 | |a In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. | ||
| 520 | |a In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. | ||
| 650 | 7 | |a Minimum-variance (MV) hedge ratio |2 Elsevier | |
| 650 | 7 | |a Time scales |2 Elsevier | |
| 650 | 7 | |a Futures market |2 Elsevier | |
| 650 | 7 | |a Hedging effectiveness |2 Elsevier | |
| 650 | 7 | |a Hedging |2 Elsevier | |
| 650 | 7 | |a Detrended MV hedge ratio |2 Elsevier | |
| 700 | 1 | |a Xie, Chi |4 oth | |
| 700 | 1 | |a He, Ling-Yun |4 oth | |
| 700 | 1 | |a Chen, Shou |4 oth | |
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10.1016/j.physa.2014.03.010 doi GBVA2014012000002.pica (DE-627)ELV022728325 (ELSEVIER)S0378-4371(14)00204-0 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Wang, Gang-Jin verfasserin aut Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales 2014transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. Minimum-variance (MV) hedge ratio Elsevier Time scales Elsevier Futures market Elsevier Hedging effectiveness Elsevier Hedging Elsevier Detrended MV hedge ratio Elsevier Xie, Chi oth He, Ling-Yun oth Chen, Shou oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:405 year:2014 day:1 month:07 pages:70-79 extent:10 https://doi.org/10.1016/j.physa.2014.03.010 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 405 2014 1 0701 70-79 10 045F 500 |
| spelling |
10.1016/j.physa.2014.03.010 doi GBVA2014012000002.pica (DE-627)ELV022728325 (ELSEVIER)S0378-4371(14)00204-0 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Wang, Gang-Jin verfasserin aut Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales 2014transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. Minimum-variance (MV) hedge ratio Elsevier Time scales Elsevier Futures market Elsevier Hedging effectiveness Elsevier Hedging Elsevier Detrended MV hedge ratio Elsevier Xie, Chi oth He, Ling-Yun oth Chen, Shou oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:405 year:2014 day:1 month:07 pages:70-79 extent:10 https://doi.org/10.1016/j.physa.2014.03.010 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 405 2014 1 0701 70-79 10 045F 500 |
| allfields_unstemmed |
10.1016/j.physa.2014.03.010 doi GBVA2014012000002.pica (DE-627)ELV022728325 (ELSEVIER)S0378-4371(14)00204-0 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Wang, Gang-Jin verfasserin aut Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales 2014transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. Minimum-variance (MV) hedge ratio Elsevier Time scales Elsevier Futures market Elsevier Hedging effectiveness Elsevier Hedging Elsevier Detrended MV hedge ratio Elsevier Xie, Chi oth He, Ling-Yun oth Chen, Shou oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:405 year:2014 day:1 month:07 pages:70-79 extent:10 https://doi.org/10.1016/j.physa.2014.03.010 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 405 2014 1 0701 70-79 10 045F 500 |
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10.1016/j.physa.2014.03.010 doi GBVA2014012000002.pica (DE-627)ELV022728325 (ELSEVIER)S0378-4371(14)00204-0 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Wang, Gang-Jin verfasserin aut Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales 2014transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. Minimum-variance (MV) hedge ratio Elsevier Time scales Elsevier Futures market Elsevier Hedging effectiveness Elsevier Hedging Elsevier Detrended MV hedge ratio Elsevier Xie, Chi oth He, Ling-Yun oth Chen, Shou oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:405 year:2014 day:1 month:07 pages:70-79 extent:10 https://doi.org/10.1016/j.physa.2014.03.010 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 405 2014 1 0701 70-79 10 045F 500 |
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10.1016/j.physa.2014.03.010 doi GBVA2014012000002.pica (DE-627)ELV022728325 (ELSEVIER)S0378-4371(14)00204-0 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Wang, Gang-Jin verfasserin aut Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales 2014transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. Minimum-variance (MV) hedge ratio Elsevier Time scales Elsevier Futures market Elsevier Hedging effectiveness Elsevier Hedging Elsevier Detrended MV hedge ratio Elsevier Xie, Chi oth He, Ling-Yun oth Chen, Shou oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:405 year:2014 day:1 month:07 pages:70-79 extent:10 https://doi.org/10.1016/j.physa.2014.03.010 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 405 2014 1 0701 70-79 10 045F 500 |
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Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales |
| abstract |
In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. |
| abstractGer |
In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. |
| abstract_unstemmed |
In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at different time scales. The proposed D-MV hedge ratio is defined as the detrended covariance function between spot and futures returns divided by the detrended variance function of futures returns. Through the simulated and empirical analysis, we find that (i) the outcomes of the hedge ratio and the corresponding hedging effectiveness for the D-MV hedge ratio are diverse at different time scales, which can meet needs of various hedging participants with different hedging horizons; (ii) our proposed D-MV hedge ratio has a better hedging performance and a greater potential to determine the hedge ratio because its results of hedging effectiveness at most of time scales are better than those of the traditional MV hedge ratio; and (iii) as for the method of D-MV hedge ratio for different polynomial orders m in the fitting procedure, the D-MV-1 hedge ratio (i.e., the linear polynomial in the fitting procedure) has the best hedging capability for determining the hedge ratio. |
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