Optimal futures hedging strategies based on an improved kernel density estimation method

DOI10.1007/S00500-021-06185-3zbMath1498.91465OpenAlexW3195711635MaRDI QIDQ2100488

Wei-Guo Zhang, Xinxin Wang, Zijin Li, Xing Yu

Publication date: 22 November 2022

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-021-06185-3

zbMATH Keywords

genetic algorithmARCH modelfutures hedgingcrude oil priceimproved kernel density estimationlower partial moment

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• pyuvdata

Cites Work

• Nonparametric density estimation for positive time series
• Linear boundary kernels for bivariate density estimation
• FFT-based fast bandwidth selector for multivariate kernel density estimation
• Non-separation in the mean -- lower-partial-moment portfolio optimization problem
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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