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Hedging Performance of Multiscale Hedge Ratios

Sultan, Jahangir, Alexandridis, Antonios K., Hasan, Mohammad, Guo, Xuxi (2019) Hedging Performance of Multiscale Hedge Ratios. Journal of Futures Markets, 39 (12). pp. 1613-1632. ISSN 0270-7314. E-ISSN 1096-9934. (doi:10.1002/fut.22047) (KAR id:75617)

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In this study, the wavelet multiscale model is applied to selected assets to hedge time-dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in-sample and out-of-sample portfolio variances, the wavelet-based GARCH model produces the lowest variances. From a utility standpoint, wavelet networks combined with GARCH have the highest utility. Finally, the wavelet GARCH model has the lowest minimum capital risk requirements (MCRR). Overall, the wavelet GARCH and wavelet networks offer improvements over traditional hedging models.

Item Type: Article
DOI/Identification number: 10.1002/fut.22047
Uncontrolled keywords: wavelet analysis, multiscale hedge ratio, hedging effectiveness, GARCH model, wavelet networks
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mohammad Hasan
Date Deposited: 30 Jul 2019 09:37 UTC
Last Modified: 06 Oct 2021 15:42 UTC
Resource URI: (The current URI for this page, for reference purposes)
Alexandridis, Antonios K.:
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