2009•SSRN Electronic JournalOpen access

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

YiHao Lai, Cathy W. S. Chen, Richard Gerlach

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Key concepts: Copula (linguistics), Econometrics, Autoregressive conditional heteroskedasticity, Economics, Mathematics, Financial economics, Computer science, Volatility (finance)

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