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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

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

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

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

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

A regime-switching real-time copula GARCH model for optimal futures hedging

Lee, Hsiang-Tai; Lee, Chien-Chiang - In: International review of financial analysis 84 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013472897

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