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SUMMARY:The Impact of Jumps and Thin Trading on Realsied Hedge Ratios - Ly
 udmyla Hvozdyk\, CERF\, Cambridge Judge Business School
DTSTART:20120306T170000Z
DTEND:20120306T180000Z
UID:TALK36474@talks.cam.ac.uk
CONTACT:Sheryl Anderson
DESCRIPTION:The use of intradaily data to produce daily variance measures 
 has resulted in increased forecast accuracy and better hedging for many ma
 rkets. However\, this paper shows that improved hedging ratios can depend 
 on the behaviour of price disruptions in the assets. When the spot and fut
 ure prices for the same asset do not jump simultaneously within the day\, 
 then inferior hedging outcomes can be observed. We illustrate that this pr
 oblem dominates bias from potential thin trading. Using US Treasury data w
 e demonstrate how the extent of non-synchronised jumping\, or disjoint jum
 ping\, leads to the finding that optimal hedging ratios are not improved w
 ith high frequency data in this market.
LOCATION:Lucia Windsor Room\, Newnham College
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