Hedging performance of multiscale hedge ratios
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DOI: 10.1002/fut.22047
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Citations
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Cited by:
- Xingyu Dai & Dongna Zhang & Chi Keung Marco Lau & Qunwei Wang, 2023. "Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2167-2196, December.
- Hsiu-Chuan Lee & Donald Lien & Her-Jiun Sheu, 2023. "Hedging performance of volatility index futures: a partial cointegration approach," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 265-294, July.
- Wang Haoyu & Junpeng Di & Qing Han, 2023. "Adaptive hedging horizon and hedging performance estimation," Papers 2302.00251, arXiv.org.
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