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.

翻译：在本研究中,我们是一种适应性套期保值方法,其依据是经验模式分解(EMD)方法,用以提取适应性套期保值前景,并为稳健套期保值业绩估计建立一个时间序列交叉验证方法。我们根据差异减少标准和风险价值(VaR)标准,发现对模拟套期保值业绩的估计与外模套期保值业绩的估计不一致。 EMD套期保值方法显示,与最低差异套期保值方法相比,VaR标准的家庭业绩优于最低差异套期保值。具体时间尺度的现货合同和期货合同的匹配程度是相应套期保值业绩的关键决定因素。