Optimal dynamic hedging via copula-threshold-GARCH models
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
- An introduction to copulas. Properties and applications
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bivariate Exponential Distributions
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
- Generalized autoregressive conditional heteroscedasticity
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- Statistical Inference Procedures for Bivariate Archimedean Copulas
Cited in
(12)- Minimum variance hedging based on time-varying copulas
- Testing for nonlinearity in mean and volatility for heteroskedastic models
- Clustering dependencies via mixtures of copulas
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- On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
- Hedges or safe havens -- revisit the role of gold and USD against stock: a multivariate extended skew-\(t\) copula approach
- Quantile-based estimative VaR forecast and dependence measure: a simulation approach
- A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- Hedging model with cross-currency options based on copula-GARCH method
- Optimal hedging ratio of portfolio under the R-vine pair copula model
- Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts
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