Regime switching fractional cointegration and futures hedging

Hsiang-Tai Lee

doi:10.1080/09603107.2011.564133

Regime switching fractional cointegration and futures hedging

Applied Financial Economics ◽

10.1080/09603107.2011.564133 ◽

2011 ◽

Vol 21 (15) ◽

pp. 1145-1157 ◽

Cited By ~ 2

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Fractional Cointegration ◽

Futures Hedging

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Regime Switching Fractional Cointegration and Futures Hedging

SSRN Electronic Journal ◽

10.2139/ssrn.1536362 ◽

2010 ◽

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Fractional Cointegration ◽

Futures Hedging

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Fractional cointegration and futures hedging

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(199906)19:4<457::aid-fut4>3.0.co;2-u ◽

1999 ◽

Vol 19 (4) ◽

pp. 457-474 ◽

Cited By ~ 47

Author(s):

Donald Lien ◽

Yiu Kuen Tse

Keyword(s):

Fractional Cointegration ◽

Futures Hedging

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An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging

GLOBAL BUSINESS & FINANCE REVIEW ◽

10.17549/gbfr.2019.24.3.65 ◽

2019 ◽

Vol 24 (3) ◽

pp. 65-78

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Garch Model ◽

Futures Hedging

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A random coefficient autoregressive Markov regime switching model for dynamic futures hedging

Journal of Futures Markets ◽

10.1002/fut.20193 ◽

2005 ◽

Vol 26 (2) ◽

pp. 103-129 ◽

Cited By ~ 41

Author(s):

Hsiang-Tai Lee ◽

Jonathan K. Yoder ◽

Ron C. Mittelhammer ◽

Jill J. McCluskey

Keyword(s):

Regime Switching ◽

Random Coefficient ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Futures Hedging ◽

Markov Regime Switching Model ◽

Random Coefficient Autoregressive

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The effects of asymmetries and regime switching on optimal futures hedging

Applied Financial Economics Letters ◽

10.1080/17446540701537780 ◽

2008 ◽

Vol 4 (2) ◽

pp. 133-136

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Futures Hedging

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OPTIMAL CROSS FUTURES HEDGING UNDER REGIME SWITCHING TIME-VARYING CORRELATED JUMP DYNAMIC

Proceedings of International Conference on Management, Economics and Finance ◽

10.33422/icmef.2019.03.148 ◽

2019 ◽

Author(s):

Hsiang Tai Lee

Keyword(s):

Regime Switching ◽

Switching Time ◽

Time Varying ◽

Futures Hedging

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Multi-Futures Hedging Strategy Based on Markov Regime-Switching Panel GARCH Model

International Journal of Hybrid Information Technology ◽

10.14257/ijhit.2016.9.5.04 ◽

2016 ◽

Vol 9 (5) ◽

pp. 31-46

Author(s):

Xu Gu

Keyword(s):

Regime Switching ◽

Garch Model ◽

Hedging Strategy ◽

Markov Regime Switching ◽

Futures Hedging ◽

Panel Garch

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Optimal Futures Hedging Under Multichain Markov Regime Switching

Journal of Futures Markets ◽

10.1002/fut.21583 ◽

2012 ◽

Vol 34 (2) ◽

pp. 173-202 ◽

Cited By ~ 6

Author(s):

Her-Jiun Sheu ◽

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Markov Regime Switching ◽

Futures Hedging

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A Multivariate Markov Regime-Switching High-Frequency-Based Volatility Model for Optimal Futures Hedging

Journal of Futures Markets ◽

10.1002/fut.21842 ◽

2017 ◽

Vol 37 (11) ◽

pp. 1124-1140 ◽

Cited By ~ 4

Author(s):

Yu-Sheng Lai ◽

Her-Jiun Sheu ◽

Hsiang-Tai Lee

Keyword(s):

High Frequency ◽

Regime Switching ◽

Markov Regime Switching ◽

Futures Hedging ◽

Volatility Model

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

Journal of Futures Markets ◽

10.1002/fut.20394 ◽

2009 ◽

Vol 29 (10) ◽

pp. 946-972 ◽

Cited By ~ 27

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Garch Model ◽

Futures Hedging

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