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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| 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 |