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The impact of jumps and thin trading on realized hedge ratios?
Dungey, M, Henry, O and Hvozdyk, L 2013
, The impact of jumps and thin trading on realized hedge ratios?.
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2013-02_DHH_Mar...pdf | Download (250kB) Available under University of Tasmania Standard License. |
Official URL: http://www.utas.edu.au/economics-finance/home
Abstract
The use of intradaily data to produce daily variance measures has resulted in increased forecast accuracy and better hedging for many markets. However, this paper shows that improved hedging ratios can depend on the behavior of price disruptions in the assets. When spot and future prices for the same asset do not jump simultaneously inferior hedging outcomes can be observed. This problem dominates potential bias from thin trading. Using US Treasury data we demonstrate how the extent of non-synchronized jumping leads to the �nding that optimal hedging ratios are not improved with intradaily data in this market.
| Item Type: | Report (Discussion Paper) |
|---|---|
| Authors/Creators: | Dungey, M and Henry, O and Hvozdyk, L |
| Keywords: | repec, US Treasury bonds; Futures; Realized hedge ratios; Jumps; Thin trading |
| Publisher: | University of Tasmania |
| Additional Information: | Discussion Paper 2013-03 - Copyright 2013 University of Tasmania |
| Item Statistics: | View statistics for this item |
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