淡江大學機構典藏:Item 987654321/126737
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    題名: Evaluation of realized multi-power variations in minimum variance hedging
    作者: Hung, Jui-Cheng
    關鍵詞: Realized multi-power variations;Minimum variance strategy;Realized DCC-GARCH model;Transaction costs
    日期: 2015-12
    上傳時間: 2025-03-20 09:22:07 (UTC+8)
    出版者: Elsevier
    摘要: This study investigated the hedging performance of realized multi-power variations under minimum variance strategy. The minimum variance hedge ratios are estimated by the realized DCC-GARCH model, and the risk and utility metrics are used to evaluate the performances of long and short hedge. The empirical results derived from the S&P 500 index demonstrated that the realized DCC-GARCH model with realized tri-power variation outperforms others in reducing risks, and generates largest economic benefits. While considering transaction costs, the superiority of the realized DCC-GARCH model with realized multi-power variations persists and produced less rebalancing costs than the realized DCC-GARCH model with realized variance.
    關聯: Economic Modelling, 51, Pp.672-679
    DOI: 10.1016/j.econmod.2015.08.024
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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