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Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
16 references·7 citing·38 second hop
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*351 cited
  • 2004Multiscale systematic risk316 cited
  • 2003Correlated default with incomplete information256 cited
  • 2003Systematic risk and timescales194 cited
  • 2006The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*178 cited
  • 1984A Risk-Return Measure of Hedging Effectiveness177 cited
  • 2003Modeling Financial Time Series with S-Plus®134 cited
  • 2002Bivariate option pricing with copulas123 cited
  • 2005The CAPM and value at risk at different time-scales95 cited
  • 2005Goodness-of-fit test for copulas91 cited

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Cited by

  • 2017Is gold a hedge against inflation? A wavelet time-scale perspective76 cited
  • 2020Safe-Haven Properties of Soft Commodities during Times of COVID-1973 cited
  • 2022Carbon credit futures as an emerging asset: Hedging, diversification and downside risks73 cited
  • 2008Copula-based measures of dependence structure in assets returns36 cited
  • 2017Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach30 cited
  • 2019Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes28 cited
  • 2019Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets27 cited