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A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
16 references·1 citing·34 second hop
A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio (2013)A Copula‐Based Quantile Risk Measure Appr…The t Copula and Related Copulas (2007)The t Copula and Related Copu…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On the coherence of expected shortfall (2002)On the coherence of expected …Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…On Default Correlation (2000)On Default CorrelationConditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Coherent Measures of Risk (1999)Coherent Measures of RiskUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…On Nonparametric Measures of Dependence for Random Variables (1981)On Nonparametric Measures of …The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Are gold, USD, and Bitcoin hedge or safe haven against stock? The implication for risk management (2022)Are gold, USD, and Bitcoin he…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)Copula Modeling: An Introduction for Practitioners (2007)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)An Introduction to Copulas (1999)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Statistical Modeling of Spatial Extremes (2012)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2000On Default Correlation1,257 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1981

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On Nonparametric Measures of Dependence for Random Variables
601 cited

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  • 2022Are gold, USD, and Bitcoin hedge or safe haven against stock? The implication for risk management21 cited