Work

A regime-switching real-time copula GARCH model for optimal futures hedging

Year: 2022

Type: article

Source: International Review of Financial Analysis

DOI: 10.1016/j.irfa.2022.102395

Authors: Hsiang-Tai Lee, Chien-Chiang Lee

Institutions: Huaqiao University, Nanchang University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4306812401

FWCI: 4.212

Cites: 42

Cited by: 25

Related to: 10