Optimal dynamic hedging via copula-threshold-GARCH models
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DOI: 10.1016/j.matcom.2008.12.010
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More about this item
Keywords
Hedge ratio; Threshold-GARCH; Copula; Spot and futures market; Stock return;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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