Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
Author:
Funder
Ministry of Science and Technology, Taiwan
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/article/10.1007/s11147-018-9142-1/fulltext.html
Reference40 articles.
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2. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96(453), 42–55.
3. Baillie, R. T., & Myers, R. J. (1991). Bivariate Garch estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6(2), 109–124.
4. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., & Shephard, N. (2011). Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Journal of Econometrics, 162(2), 149–169.
5. Barndorff-Nielsen, O. E., & Shephard, N. (2004). Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics. Econometrica, 72(3), 885–925.
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