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- W3102215759 startingPage "125553" @default.
- W3102215759 abstract "Using multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) methods, this paper investigates the hedging effectiveness of Chinese Treasury bond futures. We utilize MF-DFA approach and show that Treasury bond spot and futures markets are multifractal. Moreover, results based on MF-DCCA suggest persistent cross-correlation between 10-year Treasury bond spot and futures, but no significant cross-correlation between 5-year Treasury bond spot and futures. Interestingly, there also exists persistent cross-correlation between 10-year Treasury bond futures and other Treasury bonds (5-year and long-term). Results based on MF-CCA verify the persistent cross-correlations above. Our findings imply that 10-year Treasury bond futures contracts can serve as better tools to hedge interest rate risk." @default.
- W3102215759 created "2020-11-23" @default.
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- W3102215759 date "2021-03-01" @default.
- W3102215759 modified "2023-10-02" @default.
- W3102215759 title "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis" @default.
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- W3102215759 doi "https://doi.org/10.1016/j.physa.2020.125553" @default.
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