Minimum variance hedging based on time-varying copulas

MaRDI QIDQ2917173zbMATH OpenFDO

Authors Qingzhong Zou, Jinlin Li, Beibei Wang

Publication date 5 October 2012

Published in Transactions of Beijing Institute of Technology (Search for Journal in Brave)

zbMATH Keywords

hedge rationormal copula functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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