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

fYear

2008

fDate

12-14 Oct. 2008

Firstpage

1

Lastpage

4

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/WiCom.2008.2411

Filename

4680600