Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks
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DOI: 10.1007/s10614-020-09979-z
Abstract: In this paper, we explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework. We employ ten commonly used econometric models including constant and dynamic ones. Our empirical results… read more here.
Keywords: minimum variance; variance maximum; csi 300; maximum utility ... See more keywords
Forecasting the realized volatility of CSI 300
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2019.121799
Abstract: Abstract According to the characteristics of realized volatility existing in Shanghai and Shenzhen 300 index (China Securities Index 300, CSI 300), the GARCH family model is introduced to describe the ARCH effect of error sequences… read more here.
Keywords: volatility; garch family; volatility csi; realized volatility ... See more keywords