Similar Search Results

Narrow search

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

Optimal futures hedging under jump switching dynamics

Lee, Hsiang-Tai - In: Journal of empirical finance 16 (2009) 2, pp. 446-456

Persistent link: https://www.econbiz.de/10003856819

The effects of asymmetries and regime switching on optimal futures hedging

Lee, Hsiang-Tai - In: Applied financial economics letters 4 (2008) 1/3, pp. 133-136

Persistent link: https://www.econbiz.de/10003725345

An asynchronous regime switching GO GARCH model for optimal futures hedging

Lee, Hsiang-Tai - In: Global business and finance review 24 (2019) 3, pp. 65-78

Persistent link: https://www.econbiz.de/10012121320

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 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

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