The global minimum variance hedge
Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (...
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| Autor*in: |
Chiu, Wan-Yi [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2019 |
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| Schlagwörter: |
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| Anmerkung: |
© Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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| Übergeordnetes Werk: |
Enthalten in: Review of derivatives research - Springer US, 1996, 23(2019), 2 vom: 30. Apr., Seite 121-144 |
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| Übergeordnetes Werk: |
volume:23 ; year:2019 ; number:2 ; day:30 ; month:04 ; pages:121-144 |
| Links: |
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| DOI / URN: |
10.1007/s11147-019-09159-8 |
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| 520 | |a Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. | ||
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10.1007/s11147-019-09159-8 doi (DE-627)OLC2072735661 (DE-He213)s11147-019-09159-8-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Chiu, Wan-Yi verfasserin aut The global minimum variance hedge 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. Minimum variance hedge Global minimum variance hedge Hedge boundary Information ratio Enthalten in Review of derivatives research Springer US, 1996 23(2019), 2 vom: 30. Apr., Seite 121-144 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:23 year:2019 number:2 day:30 month:04 pages:121-144 https://doi.org/10.1007/s11147-019-09159-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 AR 23 2019 2 30 04 121-144 |
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10.1007/s11147-019-09159-8 doi (DE-627)OLC2072735661 (DE-He213)s11147-019-09159-8-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Chiu, Wan-Yi verfasserin aut The global minimum variance hedge 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. Minimum variance hedge Global minimum variance hedge Hedge boundary Information ratio Enthalten in Review of derivatives research Springer US, 1996 23(2019), 2 vom: 30. Apr., Seite 121-144 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:23 year:2019 number:2 day:30 month:04 pages:121-144 https://doi.org/10.1007/s11147-019-09159-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 AR 23 2019 2 30 04 121-144 |
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10.1007/s11147-019-09159-8 doi (DE-627)OLC2072735661 (DE-He213)s11147-019-09159-8-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Chiu, Wan-Yi verfasserin aut The global minimum variance hedge 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. Minimum variance hedge Global minimum variance hedge Hedge boundary Information ratio Enthalten in Review of derivatives research Springer US, 1996 23(2019), 2 vom: 30. Apr., Seite 121-144 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:23 year:2019 number:2 day:30 month:04 pages:121-144 https://doi.org/10.1007/s11147-019-09159-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 AR 23 2019 2 30 04 121-144 |
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10.1007/s11147-019-09159-8 doi (DE-627)OLC2072735661 (DE-He213)s11147-019-09159-8-p DE-627 ger DE-627 rakwb eng 330 VZ 3,2 ssgn Chiu, Wan-Yi verfasserin aut The global minimum variance hedge 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2019 Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. Minimum variance hedge Global minimum variance hedge Hedge boundary Information ratio Enthalten in Review of derivatives research Springer US, 1996 23(2019), 2 vom: 30. Apr., Seite 121-144 (DE-627)231970439 (DE-600)1387516-4 (DE-576)079322344 1380-6645 nnns volume:23 year:2019 number:2 day:30 month:04 pages:121-144 https://doi.org/10.1007/s11147-019-09159-8 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 AR 23 2019 2 30 04 121-144 |
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Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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Abstract We explore futures hedging based on the global minimum variance strategy. As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. In the illustration examined, we show that the global minimum variance hedge provides a more economically significant information ratio yield than that under the minimum variance hedge. © Springer Science+Business Media, LLC, part of Springer Nature 2019 |
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As evidenced by using eleven of the world’s major stock market indexes and their corresponding futures contracts, the results show that the global minimum variance hedge may deviate statistically from the Ederington (J Finance 43(1):157–170, 1979) minimum variance hedge. We also present a regression approach to testing the hedge ratios and futures positions when the noise terms follow a normal distribution. 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Apr., Seite 121-144</subfield><subfield code="w">(DE-627)231970439</subfield><subfield code="w">(DE-600)1387516-4</subfield><subfield code="w">(DE-576)079322344</subfield><subfield code="x">1380-6645</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:23</subfield><subfield code="g">year:2019</subfield><subfield code="g">number:2</subfield><subfield code="g">day:30</subfield><subfield code="g">month:04</subfield><subfield code="g">pages:121-144</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://doi.org/10.1007/s11147-019-09159-8</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">23</subfield><subfield code="j">2019</subfield><subfield code="e">2</subfield><subfield code="b">30</subfield><subfield code="c">04</subfield><subfield code="h">121-144</subfield></datafield></record></collection>
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