This article develops a new bivariate Markov regime switching BEKK-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK-GARCH model and an extension of Gray's univariate generalized regime-switching (GRS) model to...

This paper develops a new bivariate Markov regime switching BEKK-GARCH (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK- GARCH model, and an extension of Gray’s univariate generalized regime- switching (GRS) model to the bivariate case. To solve the path- dependency problem...

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...

The article develops a Markov regime switching Generalized Orthogonal GARCH model with conditional jump dynamics (JSGO) for optimal futures hedging. To the author's knowledge, there is no existing study on dynamic futures hedging investigating both the effects of regime switching and conditional...

This article proposes a Full Jump Switching Level Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (i.e. FJSLG) model for short-term interest rate which is an extension of Lee's jump switching filter with a state-dependent time-varying jump dynamic. FJSLG is applied to the rates...

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...

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...

This paper investigates the hedging effectiveness of commodity futures when the correlations of spot and futures returns are subject to multi-state regime shifts. An independent switching dynamic conditional correlation GARCH (IS-DCC) which is free from the problems of path-dependency and...