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Bayesian estimation of non-stationary Markov models combining micro and macro data

Storm, Hugo; Heckelei, Thomas; Mittelhammer, Ron C. - In: European review of agricultural economics : ERAE 43 (2016) 2, pp. 303-329

Persistent link: https://www.econbiz.de/10011597336

A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios

Lee, Hsiang-tai; Yoder, Jonathan K. - In: Applied economics 39 (2007) 10/12, pp. 1253-1265

Persistent link: https://www.econbiz.de/10003511726

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

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

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

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

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

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

Does the stock market drive herd behavior in commodity futures markets?

Demirer, Rıza; Lee, Hsiang-Tai; Lien, Da-hsiang Donald - In: International review of financial analysis 39 (2015), pp. 32-44

Persistent link: https://www.econbiz.de/10011573052