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A copula–multifractal volatility hedging model for CSI 300 index futures
16 references·2 citing·33 second hop
A copula–multifractal volatility hedging model for CSI 300 index futures (2011)A copula–multifractal volatility hedging …Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…An Introduction to Copulas (1999)An Introduction to CopulasIntraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Time-varying copula models in the shipping derivatives market (2016)Time-varying copula models in…Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches (2013)Hedging performance of Chines…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)
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1,476 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • Cited by

    • 2016Time-varying copula models in the shipping derivatives market29 cited
    • 2013Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches27 cited