摘要翻译：
本文研究了在不同的套期保值时间范围内，现金和期货合约的波动性和协方差动态，这些波动性和协方差动态是最优套期保值比率(OHR)的基础。我们考察了在短期套期保值范围内计算的套期保值比率是否可以扩展并成功地应用于较长期的套期保值范围。我们还检验了套期保值比率与直接从低频数据计算的套期保值比率的等价性，并在套期保值有效性方面进行了比较。我们的研究结果表明，波动性和协方差动态可能会因套期保值期限的不同而有很大差异，这导致了短期套期保值和长期套期保值之间的显著差异。尽管如此，规模调整在风险降低方面提供了良好的对冲结果，与基于直接估计的结果相当。
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英文标题：
《Hedging: Scaling and the Investor Horizon》
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作者：
John Cotter and Jim Hanly
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this gives rise to significant differences between short term and longer term hedges. Despite this, scaling provides good hedging outcomes in terms of risk reduction which are comparable to those based on direct estimation.
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PDF链接：
https://arxiv.org/pdf/1103.5966