An empirical study of the impact of skewness and kurtosis on hedging decisions
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Cites work
- An application and comparison of some flexible parametric and semi-parametric qualitative response models
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Financial data and the skewed generalized t distribution
- Generalized autoregressive conditional heteroscedasticity
- Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
- Proper Risk Aversion
- Risk, Return, Skewness and Preference
- Standard Risk Aversion
Cited in
(4)- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- scientific article; zbMATH DE number 5010393 (Why is no real title available?)
- Portfolio choice with skewness preference and wealth-dependent risk aversion
- Robust equilibrium strategy for mean-variance-skewness portfolio selection problem with long memory
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