Wei, Yu; Wang, Yudong; Huang, Dengshi - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4260-4272
In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI...