Optimal dynamic hedging via copula-threshold-GARCH models (Q1025343)
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scientific article; zbMATH DE number 5566453
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal dynamic hedging via copula-threshold-GARCH models |
scientific article; zbMATH DE number 5566453 |
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Optimal dynamic hedging via copula-threshold-GARCH models (English)
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18 June 2009
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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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0.89276314
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0.87262535
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0.87253994
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0.87104017
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0.8697757
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