Lee, Hsiang-Tai - In: Applied Financial Economics Letters 4 (2008) 2, pp. 133-136
This article investigates the effects of asymmetries and regime switching on futures hedging effectiveness by using an asymmetric Markov regime switching BEKK GARCH (ARSBEKK) model. Hedging performance is evaluated from both a risk-minimization and a utility standpoint. Out-of-sample estimates...