統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Friday August 7 2015 Tokyo 052 (Host) and Osaka I407 (Web) 2:40-3:50 pm
Effectiveness of time-varying minimum value at risk and expected shortfall hedging
生方雅人 / UBUKATA, Masato 釧路公立大学 / Kushiro Public University of Economics Abstract This paper assesses the incremental value of time-varying minimum value at risk (VaR) and expected shortfall (ES) hedging strategies over unconditional hedging strategy.
The conditional futures hedge ratios are calculated through estimation of multivariate volatility models under a skewed and leptokurtic
distribution and Monte Carlo simulation for conditional skewness and kurtosis of hedged portfolio returns.
We examine DCC-GJR models with or without encompassing realized covariance measure (RCM) from high-frequency data under a multivariate skewed Student's t-distribution.
In the out-of-sample analysis with a daily rebalancing approach, the empirical results show that the conditional minimum VaR and ES hedging strategies outperform the unconditional hedging strategy.
We find that the use of RCM improves the futures hedging performance for a short hedge, although the degree of improvement is small relative to that when switching from unconditional to conditional.
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