Lee, Hsiang-Tai - In: Applied Financial Economics 21 (2011) 15, pp. 1145-1157
The article applies a Regime Switching Fractionally Integrated Error Correction Generalized Orthogonal (RSFIEC-GO) Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model for optimal futures hedging. RSFIEC-GO captures both the relationships of fractional cointegration and regime...