In the seismological and geophysics literature, it is suggested by numerous authors that the elapsed time between two earthquakes at a given location should be represented by either an exponential or Weibull distribution. In addition, the seismic gap hypothesis states that large waiting times...

Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This article discusses a statistical framework based...