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~person:"Lee, Hsiang-Tai"
~person:"Martin, Gael M."
~person:"Omori, Yasuhiro"
~subject:"ARCH model"
~subject:"Volatilität"
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Search: subject_exact:"Markov process"
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33
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Lee, Hsiang-Tai
Martin, Gael M.
Omori, Yasuhiro
Bauwens, Luc
16
Chiarella, Carl
13
Meitz, Mika
13
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13
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ECONIS (ZBW)
22
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1
Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2021
Persistent link: https://www.econbiz.de/10013339035
Saved in:
3
Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-chiang
;
Lee, Hsiang-Tai
- In:
Global finance journal
55
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014248631
Saved in:
4
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
5
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2020
Persistent link: https://www.econbiz.de/10013335000
Saved in:
6
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
Saved in:
7
Regime-switching angular correlation diversification
Lee, Hsiang-Tai
- In:
Finance research letters
50
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
Saved in:
8
A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai
;
Lee, Chien-chiang
- In:
International review of financial analysis
84
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
Saved in:
9
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
Saved in:
10
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
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