Hedge Ratio and Time Series Analysis

DOI10.1142/9789811202391_0011zbMath1454.91280OpenAlexW4235624336MaRDI QIDQ5139397

Sheng-Syan Chen, Keshab Shresth, Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0011

zbMATH Keywords

CARA utility functionhedge ratiominimum variance hedge ratioARCH methodco-integration and error assertion method effectivenessGARCH methodmaximum mean extended-Gini coefficient hedge ratiominimum generalized semi-variance hedge ratiominimum value-at-risk hedge ratio multivariable spew-normal distribution methodoptimum mean MEG hedge ratiooptimum mean variance hedge ratiorandom coefficient methodregime-switching GARCH methodSharpe hedge ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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