Zhiguang Cao

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

415

TOTAL CITATIONS

11

Scholarly Papers (1)

1.

Hedging and Value at Risk: A Semi-Parametric Approach

XFi Working Paper No. 08/08
Number of pages: 19 Posted: 28 Oct 2008 Last Revised: 21 Jan 2009
Zhiguang Cao, Richard D. F. Harris and Jian Shen
affiliation not provided to SSRN, University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance and University of Exeter Business School
Downloads 415 (153,956)
Citation 11

Abstract:

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Equity index futures, Hedging, Value at risk, Conditional value at risk, Skewness, Kurtosis, Cornish-Fisher expansion