Pengfei Sun

Nanjing University

Nanjing, Jiangsu 210093

China

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Dynamic Hedging Performance of the CSI 300 Index Futures - The Realized Minimum-Variance Hedge Ratio Approach

Number of pages: 35 Posted: 19 Mar 2018
Hui Qu, Tianyang Wang, Yi Zhang and Pengfei Sun
Nanjing University, Colorado State University - Department of Finance & Real Estate, Nanjing University and Nanjing University
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Abstract:

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Realized Minimum-Variance Hedge Ratio; Dynamic Hedging Performance, High-Frequency Data; Hedging Effectiveness; Volatility Regime