A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio-Reference-Cited by-同舟云学术

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A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio

Published:2021-11-18 Issue:3 Volume:42 Page:389-412
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Lee Hsiang‐Tai¹^ORCID

Affiliation:

1. Department of Banking and Finance National Chi Nan University Nantou Taiwan

Funder

Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22286

Reference46 articles.

1. A regime switching approach for hedging tanker shipping freight rates

2. A Markov regime switching approach for hedging stock indices

3. A Markov regime switching approach for hedging energy commodities

4. Bivariate garch estimation of the optimal commodity futures Hedge

5. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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1. Dynamic Dependence and Hedging of Stock Markets: Evidence From Time-Varying Copula With Asymmetric Markovian Models;IEEE Transactions on Computational Social Systems;2024-06

2. Riemannian‐geometric regime‐switching covariance hedging;Journal of Futures Markets;2024-03-18

3. Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model;Global Finance Journal;2023-02

4. Regime-switching angular correlation diversification;Finance Research Letters;2022-12

5. How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method;Physica A: Statistical Mechanics and its Applications;2022-12

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