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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

An asynchronous regime switching GO GARCH model for optimal futures hedging

Lee, Hsiang-Tai - In: Global Business & Finance Review (GBFR) 24 (2019) 3, pp. 65-78

Persistent link: https://www.econbiz.de/10012286686

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 hedging with a regime-switching time-varying correlation GARCH model

Lee, Hsiang-tai; Yoder, Jonathan - In: The journal of futures markets 27 (2007) 5, pp. 495-516

Persistent link: https://www.econbiz.de/10003493100

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272