We would like to thank the Editor (Robert I. Webb), Emanuele Bajo, Umberto Cherubini, and Sabrina Mulinacci for their helpful suggestions. Also, we are indebted to an anonymous referee for providing constructive comments which greatly improved the paper. All errors are our responsibility.
A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
Version of Record online: 4 APR 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 7, pages 658–675, July 2014
How to Cite
Barbi, M. and Romagnoli, S. (2014), A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio. J. Fut. Mark., 34: 658–675. doi: 10.1002/fut.21617
JEL Classification: G10, G32
- Issue online: 2 JUN 2014
- Version of Record online: 4 APR 2013
- Manuscript Accepted: 1 FEB 2013
- Manuscript Received: 1 AUG 2011
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