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Regime-switching angular correlation diversification
Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
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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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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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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
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Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-Chiang; Lee, Hsiang-Tai - In: Global finance journal 55 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014248631