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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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The incremental value of a futures hedge using realized volatility
Lai, Yu-sheng; Sheu, Her-jiun - In: The journal of futures markets 30 (2010) 9, pp. 874-896
Persistent link: https://www.econbiz.de/10008900926
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Incremental value of futures hedge using realized ranges
Sheu, Her-jiun; Lai, Yu-Sheng - In: The journal of futures markets 34 (2014) 7, pp. 676-689
Persistent link: https://www.econbiz.de/10010507941
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A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Sheu, Her-jiun; Lee, Hsiang-Tai - In: The journal of futures markets 37 (2017) 11, pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956