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A copula-based regime-switching GARCH model for optimal futures hedging
Lee, Hsiang-tai - In: The journal of futures markets 29 (2009) 10, pp. 946-972
Persistent link: https://www.econbiz.de/10003900947
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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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Regime switching correlation hedging
Lee, Hsiang-tai - In: Journal of banking & finance 34 (2010) 11, pp. 2728-2741
Persistent link: https://www.econbiz.de/10008858841
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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
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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
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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
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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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Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai - In: The journal of futures markets 44 (2024) 6, pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
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Cross hedging single stock with American Depositary Receipt and stock index futures
Lee, Hsiang-Tai; Tsang, Wei-Lun - In: Finance research letters 8 (2011) 3, pp. 146-157
Persistent link: https://www.econbiz.de/10009348338
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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