标题： 动态多尺度对冲的实证分析使用小波分解 显示英文标题

标题： An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

摘要： 本文研究了使用小波分解时间序列形成的动态移动窗口OLS对冲模型的对冲效果。小波变换被用来计算多种资产在不同对冲期限下的适当动态最小方差对冲比率。然后，使用标准方差减少方法测试了动态多尺度对冲策略的有效性，并扩展包括一个下行风险指标——与时间范围相关的风险价值。使用方差减少测量，有效性在较长尺度上趋于1，而VaR减少的测量表明所有尺度上都存在部分剩余风险。对冲组合分布的分析表明，这种未对冲的尾部风险与所有尺度上发现的超额组合峰度有关。 显示英文摘要

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.