Optimal futures hedging strategies based on an improved kernel density estimation method

In this paper, we study the hedging effectiveness of crude oil futures on the basis of the lower partial moments (LPMs). An improved kernel density estimation method is proposed to estimate the optimal hedge ratio. We investigate crude oil price hedging by contributing to the literature in the follo...

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Detalles Bibliográficos
Autores principales: Yu, Xing, Wang, Xinxin, Zhang, Weiguo, Li, Zijin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Soft Computing in Decision Making and in Modeling in Economics
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8408571/
https://www.ncbi.nlm.nih.gov/pubmed/34483722
http://dx.doi.org/10.1007/s00500-021-06185-3

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8408571/
https://www.ncbi.nlm.nih.gov/pubmed/34483722
http://dx.doi.org/10.1007/s00500-021-06185-3

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