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Многомерные модели волатильности для расчета коэффициента хеджирования на российском фондовом рынке
С. 89–90.
Lakshina V. V.
Karatetskaia E., Lakshina V. V., Квантиль 2019 Т. 14 С. 83–95
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. In this paper we explore data on daily stock returns of 67 companies from oil and gas sector from 13 countries. The volatility spillovers are estimated via spatial specification of the BEKK model.
By means of ...
Added: June 26, 2019
Karatetskaia E., Lakshina V. V., Известия Саратовского университета. Новая серия. Серия: Математика. Механика. Информатика 2019 Vol. 19 No. 1 P. 105–113
The article is devoted to the calculation of the dynamic hedge ratio based on three different types of volatility models, among which S-BEKK GARCH model takes into account cross-sectional dependence. The hedging strategy is built for eight stock-futures pairs on energy market in Russia. ...
Added: February 4, 2019
Lakshina V. V., , in: CEUR-WS Proceedings of the Workshop on Computer Modelling in Decision Making (CMDM 2017)Vol. 2018.: Aachen: CEUR-WS, 2017. Ch. 2018 P. 83–92.
The paper studies the problem of dynamic hedge ratio calculation for the portfolio consisted of two assets – futures and the underlying stock. We apply the utility based approach to account for the degree of risk aversion in the hedging strategy. Seventeen portfolios, consisted of Russian blue-chip stocks and futures, are estimated in the paper. ...
Added: December 14, 2017
Lakshina V. V., В кн.: XVI Апрельская международная научная конференция по проблемам развития экономики и общества: в 4 кн.Кн. 1.: М.: Издательский дом НИУ ВШЭ, 2016. С. 701–711.
В данной работе рассмотрен пример выбора многомерной модели волатильности в задаче нахождения оптимального коэффициента хеджирования (ОКХ), а именно хеджирования фьючерсными контрактами. Многомерные модели волатильности позволяют строить стратегии страхования ценовых рисков, основанные на зависящем от времени ОКХ. В настоящей работе сравниваются ОКХ, рассчитанные на основе прогнозных значений волатильности и условных ковариаций, полученных из моделей обобщенной ортогональной авторегрессионной условной ...
Added: October 15, 2015
Lakshina V. V., Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 156–174
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to ...
Added: October 15, 2015
Grigoryeva L., Ortega J., Peresetsky A., / Series "MPRA Paper". 2015. No. 64503.
This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming from different international markets in order to improve the quality of ...
Added: June 21, 2015
Lakshina V. V., Прикладная эконометрика 2014 Т. 36 № 4 С. 61–78
The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow not only reduce the dimension of the problem, but in some cases outdo original specifications at ...
Added: October 2, 2014