Lee, Hsiang-Tai; Tsang, Wei-Lun - In: Finance Research Letters 8 (2011) 3, pp. 146-157
This paper investigates the cross hedging effectiveness of individual stock in a market that does not have single stock futures traded using American Depositary Receipt (ADR) and stock index futures. We apply Caporin and Billio's Multivariate regime switching GARCH to capture the state-dependent...