A copula-multifractal volatility hedging model for CSI 300 index futures

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 23-24, 2011, Pages 4260-4272

  Wei, Yu ^a   Wang, Yudong ^b   Huang, Dengshi ^a  

^a SOUTHWEST JIAOTONG UNIVERSITY   (China)

^b Shanghai Jiao Tong University   (China)

Author keywords

CSI 300 index; Dynamic copula functions; Econophysics; Hedging effectiveness; Multifractal volatility model

Indexed keywords

FRACTALS;

COPULA FUNCTIONS; CSI 300 INDICES; ECONOPHYSICSS; HEDGING EFFECTIVENESS; VOLATILITY MODELING;

FINANCIAL MARKETS;

EID: 80052574164     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.06.042     Document Type: Article

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