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：本研究基于经验模态分解（EMD）方法构建了一种自适应对冲方法，用于提取自适应对冲时间尺度，并建立了时间序列交叉验证方法以稳健估计对冲绩效。基于方差缩减准则与风险价值（VaR）准则，我们发现样本内对冲绩效的估计与样本外对冲绩效的估计并不一致。与最小方差对冲方法相比，EMD对冲方法家族在VaR准则上表现出更优的性能。在特定时间尺度上现货与期货合约的匹配程度，是相应对冲时间尺度下对冲绩效的关键决定因素。