Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures
Year of publication: |
2014
|
---|---|
Authors: | Pan, Zhiyuan ; Sun, Xianchao |
Published in: |
International Journal of Economics and Financial Issues. - Econjournals. - Vol. 4.2014, 1, p. 107-121
|
Publisher: |
Econjournals |
Subject: | Hedge Strategy | Optimal Hedge Ratio | Nonparametric Estimation | Patton (2006)'s SJC-Copula | HCSI 300 Index Futures |
-
Pan, Zhiyuan, (2014)
-
Extracting global stochastic trend from non-synchronous data
Korhonen, Iikka, (2013)
-
On the Tail Risk of Cyberattacks in the Bitcoin Market
Grobys, Klaus, (2021)
- More ...
-
Pan, Zhiyuan, (2014)
-
Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan, (2022)
-
What can we learn from the return predictability over the business cycle?
Liu, Li, (2020)
- More ...