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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

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

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

Regime Switching Fractional Cointegration and Futures Hedging

Lee, Hsiang-Tai - 2010

The article applies a Regime Switching Fractionally Integrated Error Correction Generalized Orthogonal GARCH model (RSFIEC-GO) for optimal futures hedging. RSFIEC-GO captures both the relationships of fractional cointegration and regime shifts between spot and futures returns. Empirical...

Persistent link: https://www.econbiz.de/10013149005

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

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

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

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

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