Academic Journal
أعرض في EDS

Multiscale Hedging with Crude Oil Futures Based on EMD Method

التفاصيل البيبلوغرافية
العنوان: Multiscale Hedging with Crude Oil Futures Based on EMD Method
المؤلفون: Chengli Zheng, Kuangxi Su
المصدر: Mathematical Problems in Engineering, Vol 2020 (2020)
بيانات النشر: Hindawi Limited
سنة النشر: 2020
المجموعة: Directory of Open Access Journals: DOAJ Articles
مصطلحات موضوعية: Engineering (General). Civil engineering (General), TA1-2040, Mathematics, QA1-939
الوصف: 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.
نوع الوثيقة: article in journal/newspaper
اللغة: English
تدمد: 1024-123X
1563-5147
Relation: http://dx.doi.org/10.1155/2020/8869839; https://doaj.org/toc/1024-123X; https://doaj.org/toc/1563-5147; https://doaj.org/article/7f1a33f40e454380abf2d5b866adb30b
DOI: 10.1155/2020/8869839
الاتاحة: https://doi.org/10.1155/2020/8869839
https://doaj.org/article/7f1a33f40e454380abf2d5b866adb30b
رقم الانضمام: edsbas.A7A3AB10
قاعدة البيانات: BASE
الوصف
تدمد:1024123X
15635147
DOI:10.1155/2020/8869839