Optimal dynamic hedging via copula-threshold-GARCH models

YiHao Lai, Cathy W. S. Chen, Richard Gerlach. Optimal dynamic hedging via copula-threshold-GARCH models. Mathematics and Computers in Simulation, 79(8):2609-2624, 2009. [doi]

Authors

YiHao Lai

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Cathy W. S. Chen

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Richard Gerlach

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