Work

A copula–multifractal volatility hedging model for CSI 300 index futures

Year: 2011

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2011.06.042

Authors: Yu Wei, Yudong Wang, Dengshi Huang

Institutions: Southwest Jiaotong University, Shanghai Jiao Tong University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Program for New Century Excellent Talents in University, Fundamental Research Funds for the Central Universities

Awards: G1317261145, G1625697592, G3509978903, G3760616184, 分形市场分析、极值理论与金融传染的定量测度方法研究, 金融市场的多分形波动率测度、模型及其应用研究

OpenAlex ID: W1975145209

FWCI: 6.521

Cites: 80

Cited by: 30

Related to: 10