Both SDE model and FSDE model outperform the conventional MV model, with the improvement over the MV model by 0.
To test our models and address the effectiveness of our SDE model and FSDE model, it may be much interesting by consideration and application when the futures are less correlated with the underlying asset.
The hedging effectiveness of the SDE-MV model outperforms the MV model and the FSDE model; thus the SDE-MV model performs better both in sample and out of sample when the Hurst parameter of the spot is larger than the futures.
The frame termination method aims to enhance the efficiency and the stability of the FSDE.
ir]<min(li,ri), the reader terminates the current frame and allocates a new one whose length is determined by the FSDE based on [n.
In order to verify the performance of the FSDE with AFE, the efficiency is compared among three methods, i.
As the FSDE
aims to be the authoritative voice on skills development issues across the food and temperature controlled logistics sector, this new industry training programme proposes an initial offer that will continue to develop with the maturity of the FSDF's 'Pathway Qualifications'.