期刊论文

Xing Yu

英文

Soft Computing

1432-7643

2021

25

23

14769-14783

10.1007/s00500-021-06185-3

Funds for International Cooperation and Exchange of the National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71720107002]; National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71501076, 71971086]; Guangdong Basic and Applied Basic Research Foundation [2019B151502037]; Financial Service Innovation and Risk Management Research Base of Guangzhou; The Raising initial capital for High-level Talents of Central China Normal University [30101190001]; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities [CCNU19A06043, CCNU19TD006, CCNU 19TS062, 2019ZD13]; Fundamental Research Funds for the Central Universities (Innovation Funding Projects) [2020CXZZ047]; Humanities and Social Science Planning Fund from Ministry of Education [21YJC790148]

本校为第一机构

In this paper, we study the hedging effectiveness of crude oil futures on the basis of the lower partial moments (LPMs). An improved kernel density estimation method is proposed to estimate the optimal hedge ratio. We investigate crude oil price hedging by contributing to the literature in the following twofold: First, unlike the existing studies which focus on univariate kernel density method, we use bivariate kernel density to calculate the estimated LPMs, wherein the two bandwidths of the bivariate kernel density are not limited to the same, which is our main innovation point. According to ...