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Regime-switching angular correlation diversification
Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
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Regime switching fractional cointegration and futures hedging
Lee, Hsiang-tai - In: Applied financial economics 21 (2011) 13/15, pp. 1145-1157
Persistent link: https://www.econbiz.de/10009317429
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A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai - In: The journal of futures markets 42 (2022) 3, pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
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Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun; Lee, Hsiang-tai - In: The journal of futures markets 34 (2014) 2, pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
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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. 1253-1265
Persistent link: https://www.econbiz.de/10003511726
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A full jump switching level GARCH model for short-term interest rate
Sheu, Her-jiun; Lee, Hsiang-tai - In: Applied financial economics 22 (2012) 4/6, pp. 479-489
Persistent link: https://www.econbiz.de/10009581297
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A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai; Lee, Chien-Chiang - In: International review of financial analysis 84 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
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Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-Chiang; Lee, Hsiang-Tai - In: Global finance journal 55 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014248631