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Statistical Analysis and Modelling of Innovational Centers in Russia

Student: Sirotkin Igor

Supervisor: Viacheslav Sirotin

Faculty: Faculty of Economic Sciences

Educational Programme: Statistical Analysis of Economic and Social Processes (Master)

Year of Graduation: 2016

We considered the problem of choosing optimal hedging ratio taking into account interday and intraday return decomposition. It was shown that the standard hedging approach which uses only close prices (i.e. daily returns) is inefficient in comparison with hedging strategy based on open and close prices, i.e. when differentiating hedging ratio for interday and intraday periods. Results are confirmed both by applying Moving Window Regression and Error Correction Model for major world indexes for 1992-2012.

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