Pan, Zhiyuan; Sun, Xianchao - In: International Journal of Economics and Financial Issues 4 (2014) 1, pp. 107-121
Calculating accurately the optimal hedge ratio plays an important role in the futures market for both practitioners and academicians. In this paper, we combine copula and nonparametric technique, where marginal setting is modeled by nonparametric technique and bivariate is linked by dynamic...