The results show that hedge ratios constructed by a Gaussian or Mixture copula are the best-performed in variance reduction for all markets except Japan and ...
Optimal dynamic hedging via copula-threshold-GARCH models
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First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula-threshold-GARCH model, simultaneously ...
May 27, 2009 · The results show that hedge ratios constructed by a Gaussian or Mixture copula are the best-performed in variance reduction for all markets except Japan and ...
We develop threshold models that allow copula functions or their association parame- ters changing across time. The number and location of thresholds is assumed ...
The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal ...
Their results showed that copula based models give better performance in hedging strategy. Chang. (2012) investigated the dependence structure between WTI spot ...
This paper proposes a new approach to estimating the minimum variance hedge ratio (MVHR) based on the wild bootstrap and evaluates the approach.
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In this paper, we combine copula and nonparametric technique, where marginal setting is modeled by nonparametric technique and bivariate is linked by dynamic ...
Aug 15, 2018 · In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.
ABSTRACT: This article develops a jump-dependent model to capture the dependences between spot and futures returns and their jumps simultaneously, ...