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R-藤Pair Copula模型下的投资组合最优套期保值比例研究 - MaRDI portal

R-藤Pair Copula模型下的投资组合最优套期保值比例研究 (Q5193805)

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scientific article; zbMATH DE number 7108307
Language Label Description Also known as
English
R-藤Pair Copula模型下的投资组合最优套期保值比例研究
scientific article; zbMATH DE number 7108307

    Statements

    publication date
    20 September 2019
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    zbMATH Keywords
    pair copula
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    GARCH
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    CVaR
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    hedge ratio
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    title
    R-藤Pair Copula模型下的投资组合最优套期保值比例研究 (English)
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G20
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    91G70
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    62P05
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    62H05
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    zbMATH DE Number
    7108307
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    OpenAlex ID
    W3127464153
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