Optimal dynamic hedging via copula-threshold-GARCH models (Q1025343)

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Optimal dynamic hedging via copula-threshold-GARCH models
scientific article

    Statements

    title
    Optimal dynamic hedging via copula-threshold-GARCH models (English)
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    author
    Yihao Lai
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    Cathy W. S. Chen
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    Richard H. Gerlach
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    publication date
    18 June 2009
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    zbMATH Keywords
    hedge ratio
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    threshold-GARCH
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    copula
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    spot and futures market
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    stock return
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    Identifiers

    zbMATH DE Number
    5566453
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    OpenAlex ID
    W2065165397
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