Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
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Publication:1710582
DOI10.1007/s11147-018-9142-1zbMath1405.91633OpenAlexW2794229059MaRDI QIDQ1710582
Publication date: 23 January 2019
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-018-9142-1
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- An empirical study of the impact of skewness and kurtosis on hedging decisions
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