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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

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

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

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

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

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

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