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On the importance of asymmetries for dynamic hedging during the subprime crisis
Lai, Yu-Sheng; Sheu, Her-Jiun - In: Applied Financial Economics 21 (2011) 11, pp. 801-813
Asymmetric responses to news in volatilities and correlations are important characteristics of many financial asset returns. This study investigates the asymmetries on spot and futures and extends the work of Kroner and Sultan (1993) using the Asymmetric Dynamic Conditional Correlation (ADCC)...
Persistent link: https://www.econbiz.de/10009200857
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On the importance of asymmetries for dynamic hedging during the subprime crisis
Lai, Yu-Sheng; Sheu, Her-Jiun - In: Applied financial economics 21 (2011) 11, pp. 801-814
Persistent link: https://www.econbiz.de/10009029202
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The incremental value of a futures hedge using realized volatility
Lai, Yu-sheng; Sheu, Her-jiun - In: The journal of futures markets 30 (2010) 9, pp. 874-896
Persistent link: https://www.econbiz.de/10008900926
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Incremental value of futures hedge using realized ranges
Sheu, Her-jiun; Lai, Yu-Sheng - In: The journal of futures markets 34 (2014) 7, pp. 676-689
Persistent link: https://www.econbiz.de/10010507941
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A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Sheu, Her-jiun; Lee, Hsiang-Tai - In: The journal of futures markets 37 (2017) 11, pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
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High-frequency data and stock-bond investing
Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638
Persistent link: https://www.econbiz.de/10013465728
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Hedge ratio prediction with noisy and asynchronous high-frequency data
Lai, Yu-Sheng - In: The journal of futures markets 36 (2016) 3, pp. 295-314
Persistent link: https://www.econbiz.de/10011568233
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Measuring conditional hedging effectiveness : a GARCH approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 17 (2018) 9, pp. 1159-1171
Persistent link: https://www.econbiz.de/10012006781
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Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Lai, Yu-Sheng - In: The journal of futures markets 42 (2022) 1, pp. 104-124
Persistent link: https://www.econbiz.de/10012796298