File(s) not publicly available
Optimal hedging using cointegration
Cointegration is a time-series modelling methodology that has many applications to financial markets. When spreads are mean reverting, prices are cointegrated. Then a multivariate model will provide further insight into the price equilibria and returns causalities within the system. Spot–futures arbitrage, yield–curve modelling, index tracking and spread trading are some of the applications of cointegration that are reviewed in this paper. With the demand for new quantitative approaches to active investment management strategies there is considerable interest in cointegration theory. This paper presents a model of cointegrated international equity portfolios which is currently used for hedging within the European, Asian and Far East countries.
History
Publication status
- Published
Journal
Philosophical Transactions A: Mathematical, Physical and Engineering SciencesISSN
1471-2962Publisher
The Royal SocietyExternal DOI
Issue
1758Volume
357Page range
2039-2058Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-09-25Usage metrics
Categories
No categories selectedLicence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC