Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures
指出当市场收益具有长记忆波动率时，标准动态最小方差对冲比率估计方法存在设定错误，通过模拟和标普500指数实例展示了忽视基础收敛和长记忆性导致的偏差，对实际对冲有重要启示。
Abstract When market returns follow a long memory volatility process, standard approaches to estimating dynamic minimum variance hedge ratios (MVHRs) are misspecified. Simulation results and an application to the S&P 500 index document the magnitude of the misspecification that results from failure to account for basis convergence and long memory in volatility. These results have important implications for the estimation of MVHRs in the S&P 500 example and other markets as well.