The effects of asymmetries and regime switching on optimal futures hedging

2008 ◽  
Vol 4 (2) ◽  
pp. 133-136
Author(s):  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Futures Hedging

scholarly journals An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging

2019 ◽  
Vol 24 (3) ◽  
pp. 65-78
Author(s):  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Futures Hedging

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

2005 ◽  
Vol 26 (2) ◽  
pp. 103-129 ◽  
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

Regime switching fractional cointegration and futures hedging

2011 ◽  
Vol 21 (15) ◽  
pp. 1145-1157 ◽  
Author(s):  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Fractional Cointegration ◽  
Futures Hedging

Optimal Futures Hedging Under Multichain Markov Regime Switching

2012 ◽  
Vol 34 (2) ◽  
pp. 173-202 ◽  
Author(s):  
Her-Jiun Sheu ◽  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Markov Regime Switching ◽  
Futures Hedging

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

2017 ◽  
Vol 37 (11) ◽  
pp. 1124-1140 ◽  
Author(s):  
Yu-Sheng Lai ◽  
Her-Jiun Sheu ◽  
Hsiang-Tai Lee
Keyword(s):  
High Frequency ◽  
Regime Switching ◽  
Markov Regime Switching ◽  
Futures Hedging ◽  
Volatility Model

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

2009 ◽  
Vol 29 (10) ◽  
pp. 946-972 ◽  
Author(s):  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Futures Hedging
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