Optimal dynamic hedging via copula-threshold-GARCH models

Mathematics and Computers in Simulation

Volumn 79, Issue 8, 2009, Pages 2609-2624

  Lai, YiHao ^a   Chen, Cathy W S ^b   Gerlach, Richard ^c  

^a NATIONAL TAIWAN OCEAN UNIVERSITY   (Taiwan)

^b FENG CHIA UNIVERSITY   (Taiwan)

^c UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Copula; Hedge ratio; Spot and futures market; Stock return; Threshold GARCH

Indexed keywords

FENCES; TRELLIS CODES;

COPULA; HEDGE RATIO; SPOT AND FUTURES MARKET; STOCK RETURN; THRESHOLD-GARCH;

MARKETING;

EID: 63449128417     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.12.010     Document Type: Article

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