Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement

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An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011, methodology): “ng time-horizons, the optimal multiscale wavelet ratio was found to dominate, with similar results found both in- and out-of-sample. The optimal hedge ratios for a portfolio of commodities was found, Fernandez (2008), using copulas to measure the asset returns dependency and wavelets to account for ”
Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010, background): “Especially, Fernandez [12] gives a satisfactory application of suchmethods based on US stock data.”