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]
@article{LaiCG09,
title = {Optimal dynamic hedging via copula-threshold-GARCH models},
author = {YiHao Lai and Cathy W. S. Chen and Richard Gerlach},
year = {2009},
doi = {10.1016/j.matcom.2008.12.010},
url = {http://dx.doi.org/10.1016/j.matcom.2008.12.010},
researchr = {https://researchr.org/publication/LaiCG09},
cites = {0},
citedby = {0},
journal = {Mathematics and Computers in Simulation},
volume = {79},
number = {8},
pages = {2609-2624},
}