This paper designs a Mixture copula-based ARJI–GARCH model to simultaneously
investigate the dynamic process of crude oil spot and futures returns and the time-varying …

This study investigates efficiency of the futures hedge implemented through the currency
markets. The copula DCC-EGARCH model is estimated with the bivariate error correction …

This article develops a multichain Markov switching dynamic conditional correlation ARCH
model with idiosyncratic jump dynamics to investigate whether the state of the crude oil …

This study tests the presence of time‐varying risk premia associated with extreme news
events or jumps in stock index futures return. The model allows for a dynamic jump …

In this study, the dynamic dependence between the international crude oil return and the
exchange rate return for Taiwan is examined. Two mixture copulas (symmetric Joe–Clayton …

This study investigated the hedging performance of realized multi-power variations under
minimum variance strategy. The minimum variance hedge ratios are estimated by the …

This paper investigates the impact of the jump risk of the US REIT market on the volatility
dynamics for the REIT markets of Japan and Hong Kong, and devises a novelty bivariate …

This article develops a jump-dependent model to capture the dependences between spot
and futures returns and their jumps simultaneously, named JD model. We examine hedging …

This paper considers the multiperiod hedging decision in a framework of mean-reverting
spot prices and unbiased futures markets. The task is to determine the optimal hedging path …

This study considers calibration to forward‐looking betas by extracting information on equity
and index options from prices using Lévy models. The resulting calibrated betas are called …