Optimal dynamic hedging via copula-threshold-GARCH models

DOI10.1016/j.matcom.2008.12.010zbMath1162.91519OpenAlexW2065165397MaRDI QIDQ1025343

Cathy W. S. Chen, Yihao Lai, Richard H. Gerlach

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.010

zbMATH Keywords

copulastock returnhedge ratiospot and futures marketthreshold-GARCH

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites Work

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