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Multiscale Hedging with Crude Oil Futures Based on EMD Method
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-02
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Studying the impact of the different components in data on hedging can provide valuable guidance to investors.
However, the previous multiscale hedging studies do not examine the issue from the data itself.
In this study, we use the empirical mode decomposition (EMD) method to reconstruct the crude oil futures and spot returns into three different scales: short-term, medium-term, and long-term.
Then, we discuss the crude oil hedging performance under the dynamic minimum-CVaR framework at different scales.
Based on the daily prices of Brent crude oil futures contract from August 18, 2005, to September 16, 2019, the empirical results show that the extracted scales comprise different information of original returns, short-term information occupies the most important position, and hedging is mainly driven by short-term information.
Besides, hedging relying on long-term information has the best hedging performance.
Removing some information related to short-term noise from the original returns is helpful for investors.
American Psychological Association (APA)
Zheng, Chengli& Su, Kuangxi. 2020. Multiscale Hedging with Crude Oil Futures Based on EMD Method. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1201789
Modern Language Association (MLA)
Zheng, Chengli& Su, Kuangxi. Multiscale Hedging with Crude Oil Futures Based on EMD Method. Mathematical Problems in Engineering No. 2020 (2020), pp.1-9.
https://search.emarefa.net/detail/BIM-1201789
American Medical Association (AMA)
Zheng, Chengli& Su, Kuangxi. Multiscale Hedging with Crude Oil Futures Based on EMD Method. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1201789
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1201789