Liu, Yufang; Zhang, Wei-Guo; Chen, Rongda; Fu, Junhui Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts. (English) Zbl 1407.91229 Math. Probl. Eng. 2014, Article ID 843240, 13 p. (2014). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{Y. Liu} et al., Math. Probl. Eng. 2014, Article ID 843240, 13 p. (2014; Zbl 1407.91229) Full Text: DOI
Lai, Yihao; Chen, Cathy W. S.; Gerlach, Richard Optimal dynamic hedging via copula-threshold-GARCH models. (English) Zbl 1162.91519 Math. Comput. Simul. 79, No. 8, 2609-2624 (2009). MSC: 91B82 91B28 PDFBibTeX XMLCite \textit{Y. Lai} et al., Math. Comput. Simul. 79, No. 8, 2609--2624 (2009; Zbl 1162.91519) Full Text: DOI
Hudson, Brent G.; Gerlach, Richard H. A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models. (English) Zbl 1367.62257 Test 17, No. 3, 606-627 (2008). MSC: 62M10 62F15 62P20 PDFBibTeX XMLCite \textit{B. G. Hudson} and \textit{R. H. Gerlach}, Test 17, No. 3, 606--627 (2008; Zbl 1367.62257) Full Text: DOI