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摘要翻译：
本文研究了利用小波分解时间序列形成的动态移动窗口OLS套期保值模型的套期保值效果。应用小波变换计算了多种资产在不同套期保值水平下的动态最小方差套期保值比率。然后，使用标准方差缩减并扩展到包括下跌风险度量，即时间范围相关的风险价值，在样本内外测试动态多尺度对冲策略的有效性。用方差缩减来衡量，有效性在较长的尺度上收敛到一，而VaR缩减的度量表明在所有尺度上仍有一部分剩余风险。对套期保值投资组合分布的分析表明，这种未套期保值的尾部风险与在所有尺度上发现的超额投资组合峰度有关。
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英文标题：
《An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet
Decomposition》
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作者：
Thomas Conlon, John Cotter
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.
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PDF链接：
https://arxiv.org/pdf/1103.4943
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