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Lee, Hsiang-Tai
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Yoder, Jonathan K.
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The journal of futures markets
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OLC EcoSci
ECONIS (ZBW)
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A random coefficient autoregressive Markov regime switching model for dynamic futures hedging
Lee, Hsiang-Tai
;
Yoder, Jonathan K.
;
Mittelhammer, Ron C.
; …
- In:
The journal of futures markets
26
(
2006
)
2
,
pp. 103-130
Persistent link: https://www.econbiz.de/10006809447
Saved in:
2
Optimal futures hedging under jump switching dynamics
Lee, Hsiang-Tai
- In:
Journal of empirical finance
16
(
2009
)
3
,
pp. 446-456
Persistent link: https://www.econbiz.de/10008241614
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3
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Lee, Hsiang-Tai
;
Yoder, Jonathan K.
- In:
Applied economics
39
(
2007
)
10
,
pp. 1253-1266
Persistent link: https://www.econbiz.de/10007750245
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4
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Lee, Hsiang-Tai
;
Yoder, Jonathan K.
- In:
Applied economics
39
(
2007
)
10-12
,
pp. 1253-1266
Persistent link: https://www.econbiz.de/10007763018
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5
A full jump switching level GARCH model for short-term interest rate
Sheu, Her-Jiun
;
Lee, Hsiang-Tai
- In:
Applied financial economics
22
(
2012
)
6
,
pp. 479-490
Persistent link: https://www.econbiz.de/10009818910
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6
Regime switching fractional cointegration and futures hedging
Lee, Hsiang-Tai
- In:
Applied financial economics
21
(
2011
)
15
,
pp. 1145-1158
Persistent link: https://www.econbiz.de/10009181346
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7
Optimal futures hedging under jump switching dynamics
Lee, Hsiang-Tai
- In:
Journal of empirical finance
16
(
2009
)
3
,
pp. 446-457
Persistent link: https://www.econbiz.de/10008896140
Saved in:
8
A copula-based regime-switching GARCH model for optimal futures hedging
Lee, Hsiang-Tai
- In:
The journal of futures markets
29
(
2009
)
10
,
pp. 946-972
Persistent link: https://www.econbiz.de/10008285607
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9
Regime switching correlation hedging
Lee, Hsiang-Tai
- In:
Journal of banking & finance
34
(
2010
)
11
,
pp. 2728-2742
Persistent link: https://www.econbiz.de/10008447821
Saved in:
10
Optimal hedging with a regime-switching time-varying correlation GARCH model
Lee, Hsiang-Tai
;
Yoder, Jonathan
- In:
The journal of futures markets
27
(
2007
)
5
,
pp. 495
Persistent link: https://www.econbiz.de/10007613552
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