Title :
Futures Hedge Ratio Estimating Model Based on Kernel Estimator and EWMA Approach
Author :
Zhao, Guangjun ; Chi, Guotai
Author_Institution :
Sch. of Manage., Dalian Univ. of Technol., Dalian
Abstract :
In this paper, the kernel density estimator approach is used to estimate the probability density function of spot logarithm return and futures logarithm return. And the variance risk of spot and futures logarithm return is calculated. The method of exponentially weighted moving average (EWMA) is adopted to estimate the covariance of spot and futures logarithm return. Through using the variance of hedged portfolio measure the risk, the estimating model of the minimum variance hedge ratio is gained.
Keywords :
marketing; moving average processes; exponentially weighted moving average method; futures logarithm return; hedged portfolio; kernel density estimator approach; minimum variance hedge ratio; probability density function; spot logarithm return; variance risk; Contracts; Current measurement; Distribution functions; Electronic mail; Gain measurement; Kernel; Portfolios; Probability density function; Risk management; Technology management;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2411
