Multiscale Hedging with Crude Oil Futures Based on EMD Method

Table 2

Variance contribution rate and Shapley value of different scales.

	Futures			Spot
	Short	Medium	Long	Short	Medium	Long
Variance	2.0416	0.2269	0.0442	1.2733	0.1939	0.0637
%^a	88.28%	9.81%	1.91%	83.18%	12.66%	4.16%
Shapley^b	61.77%	26.27%	11.96%	64.18%	27.45%	8.37%

^a% denotes variance contribution rate; it is calculated based on the proportion of the variance of different scale and original returns. ^bThe definition of Shapley value is , where ; denotes risk measure; is power.