Chang, Kuang-Liang - In: Applied Economics 43 (2011) 21, pp. 2627-2640
Unlike the majority of other hedging literatures in which variance is taken as the risk indicator, this article uses the Value-at-Risk (VaR) as the risk management tool of the hedged portfolio. This article adopts a bivariate Markov regime Switching Autoregressive Conditional Heteroscedastic...