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Optimal dynamic hedging via copula-threshold-GARCH models · Study

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ArticleOptimal dynamic hedging via copula-threshold-GARCH models

YiHao Lai2008

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Articlegreen2008

Optimal dynamic hedging via copula-threshold-GARCH models

YiHao Lai · Cathy W. S. Chen · Richard Gerlach

61 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004Copula Methods in Finance

Cited by

2012Price volatility in food markets: can stock building mitigate price fluctuations?2012The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model 2009The role of Chinese stock market in global stock markets: A safe haven or a hedge?2018Dynamics and interdependencies among different shipping freight markets 2013Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk

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Year2008

Typearticle

Published2008-12-25

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2008.12.010

openalex_workW2065165397

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2011

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

2016Time-varying copula models in the shipping derivatives market