## Abstract In a number of earlier studies it has been demonstrated that the traditional regression‐based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this study the authors propose a class of ne
Optimal dynamic hedging via copula-threshold-GARCH models
✍ Scribed by YiHao Lai; Cathy W.S. Chen; Richard Gerlach
- Book ID
- 104042510
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 176 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0378-4754
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract The article develops a regime‐switching Gumbel–Clayton (RSGC) copula GARCH model for optimal futures hedging. There are three major contributions of RSGC. First, the dependence of spot and futures return series in RSGC is modeled using switching copula instead of assuming bivariate norm
## Abstract The authors develop a Markov regime‐switching time‐varying correlation generalized autoregressive conditional heteroscedasticity (RS‐TVC GARCH) model for estimating optimal hedge ratios. The RS‐TVC nests within it both the time‐varying correlation GARCH (TVC) and the constant correlatio