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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

A copula-based regime-switching GARCH model for optimal futures hedging

Lee, Hsiang-tai - In: The journal of futures markets 29 (2009) 10, pp. 946-972

Persistent link: https://www.econbiz.de/10003900947

Regime switching fractional cointegration and futures hedging

Lee, Hsiang-tai - In: Applied financial economics 21 (2011) 13/15, pp. 1145-1157

Persistent link: https://www.econbiz.de/10009317429

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

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

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

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

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 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/10011996114

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