A discrete-time hedging framework with multiple factors and fat tails: on what matters

DOI10.1016/j.jeconom.2021.08.002OpenAlexW3204519639MaRDI QIDQ2682956

Jean-François Bégin, Maciej Augustyniak, Alexandru M. Badescu

Publication date: 1 February 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.08.002

zbMATH Keywords

risk-minimizationoption hedgingaffine modelsexponential-affine pricing kernelsmulti-component volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Time-varying multivariate causal processes

Cites Work

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