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- W2348919847 abstract "Hedging of stock index futures is an efficient means to prevent the systemic risk of the market. This paper presents the calculation of optimal hedging ratio under the risk of VaR. Next, a bivariate GARCH error correcting model is established to simulate the yield distribution of the stock index futures and the portfolio hedged. Then we propose an estimation of optimal time-varying VaR hedging ratio. Finally, the empirical research is given with the data of Shanghai Shenzhen 300 stock index and its stock index futures. We calculate optimal VaR hedging ratio with and without transaction costs respectively, and then compare optimal hedging ratio of the M-VaR model to the M-V model." @default.
- W2348919847 created "2016-06-24" @default.
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- W2348919847 date "2009-01-01" @default.
- W2348919847 modified "2023-09-23" @default.
- W2348919847 title "The Calculation of VaR Hedging Ratio with Transaction Costs" @default.
- W2348919847 hasPublicationYear "2009" @default.
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