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Dynamic hedging with futures: A copula‐based GARCH model
16 references·12 citing·24 second hop
Dynamic hedging with futures: A copula‐based GARCH model (2008)Dynamic hedging with futures: A copula‐ba…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Estimation of multivariate models for time series of possibly different lengths (2006)Estimation of multivariate mo…Copula Methods in Finance (2004)Copula Methods in FinanceDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Volatility spillover and hedging strategies between the European carbon emissions and energy markets (2023)Volatility spillover and hedg…The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies (2021)The Integration of Convention…Is there a cost for sustainable investments: evidence from dynamic conditional correlation (2021)Is there a cost for sustainab…Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures (2019)Measuring tail risk with GAS …Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks (2019)Futures hedging in crude oil …Hedging downside risk of oil refineries: A vine copula approach (2017)Hedging downside risk of oil …Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Hedging with Futures: Does An…Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods (2015)Hedging performance of REIT i…Testing dependence between GDP and tourism's growth rates (2014)Testing dependence between GD…Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk (2013)Estimating hedged portfolio v…The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model (2012)The time-varying and asymmetr…A copula–multifractal volatility hedging model for CSI 300 index futures (2011)A copula–multifractal volatil…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)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)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 2006Estimation of multivariate models for time series of possibly different lengths421 cited

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  • 1988Estimation of the Optimal Futures Hedge395 cited
  • Cited by

    • 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?119 cited
    • 2014Testing dependence between GDP and tourism's growth rates102 cited
    • 2023Volatility spillover and hedging strategies between the European carbon emissions and energy markets81 cited
    • 2017Hedging downside risk of oil refineries: A vine copula approach50 cited
    • 2012The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model47 cited
    • 2021The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies47 cited
    • 2021Is there a cost for sustainable investments: evidence from dynamic conditional correlation46 cited
    • 2019Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures43 cited
    • 2015Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods32 cited
    • 2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks32 cited
    • 2013Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk31 cited
    • 2011A copula–multifractal volatility hedging model for CSI 300 index futures30 cited