  In this study, we constitute an adaptive hedging method based on empirical
mode decomposition (EMD) method to extract the adaptive hedging horizon and
build a time series cross-validation method for robust hedging performance
estimation. Basing on the variance reduction criterion and the value-at-risk
(VaR) criterion, we find that the estimation of in-sample hedging performance
is inconsistent with that of the out-sample hedging performance. The EMD
hedging method family exhibits superior performance on the VaR criterion
compared with the minimum variance hedging method. The matching degree of the
spot and futures contracts at the specific time scale is the key determinant of
the hedging performance in the corresponding hedging horizon.

Econometrics;Applications