摘要翻译：
利用尾部特征度量方法，比较了原油期货合约空头套期保值者和多头套期保值者的套期保值有效性，考察了收益率分布不对称对套期保值有效性的影响。所使用的度量指标包括较低部分矩(LPM)、在险值（VaR）和条件在险值(CVAR)。比较了一些套期保值策略，包括OLS和对称和非对称GARCH模型。我们的研究结果表明，非对称性降低了样本内套期保值绩效，空头套期保值者和多头套期保值者的套期保值绩效存在显著差异。因此，在评估套期保值有效性时，应采用尾部特定绩效指标。我们还发现，普通最小二乘(OLS)模型在不同的套期保值有效性度量和估计方法上提供了一致的良好性能，而不管底层分布的特征如何。
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英文标题：
《Hedging Effectiveness under Conditions of Asymmetry》
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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：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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英文摘要：
  We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry reduces in-sample hedging performance and that there are significant differences in hedging performance between short and long hedgers. Thus, tail specific performance metrics should be applied in evaluating hedging effectiveness. We also find that the Ordinary Least Squares (OLS) model provides consistently good performance across different measures of hedging effectiveness and estimation methods irrespective of the characteristics of the underlying distribution.
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PDF链接：
https://arxiv.org/pdf/1103.5411