YiHao Lai

Department of Finance, Da-Yeh University

Assistant Professor

112 Shan-Jiau Rd., Da-Tsuen

Chang-Hua 515, Taiwan 515

China

SCHOLARLY PAPERS

1

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228

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

Number of pages: 24 Posted: 27 May 2009
Department of Finance, Da-Yeh University, Feng Chia University - Department of Statistics and University of Sydney
Downloads 228 (135,305)

Abstract:

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hedge ratio, threshold GARCH, copula, spot and futures market, stock return