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Statistical study of the impact of the basis effect on futures hedging: Evidence from China
Youhua Frank CHEN
, Kwai Sun LEUNG
,
Kin Keung Eric POON
, Yiwen SU
Department of Mathematics and Information Technology (MIT)
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peer-review
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Keyphrases
China
100%
Base Effect
100%
Conditional Value at Risk
100%
Futures Hedging
100%
Hedge Ratio
100%
Hedging Performance
75%
Risk Hedge
50%
Lien
50%
Zero Value
50%
Copyright
25%
Performance Criteria
25%
Kwai
25%
Performance Measures
25%
Futures Prices
25%
Spot Price
25%
Sample Analysis
25%
Bivariate GARCH
25%
Out-of-sample Performance
25%
Minimum Variance
25%
Risk Ratio
25%
Dynamic Conditional Correlation Model
25%
Optimal Hedge Ratio
25%
Futures Exchange
25%
Variance Value
25%
Mathematics
Value at Risk
100%
Statistical Study
100%
Variance
75%
Conditionals
25%
Asymmetric
25%
Bivariate
25%
Spot Price
25%
Future Price
25%
Performance Measure
25%
Correlation Model
25%
Economics, Econometrics and Finance
Hedging
100%
Generalized Autoregressive Conditional Heteroskedasticity
25%
Futures Exchange
25%