The role of long memory in hedging effectiveness

DOI10.1016/J.CSDA.2007.10.019zbMath1452.62755OpenAlexW1969607834MaRDI QIDQ1023640

Jian Dollery, Jerry Coakley, 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)

Related Items (2)

Type I and type II fractional Brownian motions: a reconsideration ⋮ Editorial: Special issue on statistical and computational methods in finance

Cites Work

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

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