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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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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
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Measuring conditional hedging effectiveness : a GARCH approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 17 (2018) 9, pp. 1159-1171
Persistent link: https://www.econbiz.de/10012006781
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Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Lai, Yu-Sheng - In: The journal of futures markets 42 (2022) 1, pp. 104-124
Persistent link: https://www.econbiz.de/10012796298
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Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
Lai, Yu-Sheng - In: Review of derivatives research 21 (2018) 3, pp. 307-329
Persistent link: https://www.econbiz.de/10012055744
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Economic evaluation of dynamic hedging strategies using high-frequency data
Lai, Yu-Sheng - In: Finance research letters 57 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014517872
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Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng - In: The journal of futures markets 43 (2023) 5, pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
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Improving hedging performance by using high-low range
Lai, Yu-Sheng - In: Finance research letters 48 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013463862
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A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Lien, Da-hsiang Donald - In: The journal of futures markets 37 (2017) 9, pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
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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