Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (Q1710582)
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scientific article; zbMATH DE number 7005224
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| English | Dynamic hedging with futures: a copula-based GARCH model with high-frequency data |
scientific article; zbMATH DE number 7005224 |
Statements
Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (English)
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23 January 2019
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dynamic copula
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high-frequency data
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realized covariance
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futures hedge
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forecast comparison
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0.7883079051971436
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0.7838836312294006
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0.7725477814674377
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0.7606403827667236
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0.7481614351272583
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