| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7382914 | Physica A: Statistical Mechanics and its Applications | 2011 | 13 Pages |
Abstract
⺠A hedging model combining the multifractal volatility model and the dynamic copulas is proposed. ⺠The proposed copula-MFV hedging model performs better than several popular GARCH-class models. ⺠This paper offers new evidence of the rationality of multifractal theory in financial research.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yu Wei, Yudong Wang, Dengshi Huang,