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Optimal dynamic hedging via copula-threshold-GARCH models
Author(s):
YiHao Lai
,
Cathy W.S. Chen
,
Richard Gerlach
Publication date
Created:
April 2009
Publication date
(Print):
April 2009
Journal:
Mathematics and Computers in Simulation
Publisher:
Elsevier BV
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The Dynamic Brain
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev
(1986)
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle
(1982)
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Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson
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Author and article information
Journal
Title:
Mathematics and Computers in Simulation
Abbreviated Title:
Mathematics and Computers in Simulation
Publisher:
Elsevier BV
ISSN (Print):
03784754
Publication date Created:
April 2009
Publication date (Print):
April 2009
Volume
: 79
Issue
: 8
Pages
: 2609-2624
Article
DOI:
10.1016/j.matcom.2008.12.010
SO-VID:
62237759-636c-4437-af0d-3d17ac6fac7a
Copyright ©
© 2009
License:
http://www.elsevier.com/tdm/userlicense/1.0/
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