Hsiang‐Tai Lee; Yoder, Jonathan K.; Mittelhammer, Ron C. - In: Journal of Futures Markets 26 (2006) 2, pp. 103-129
The random coefficient autoregressive Markov regime switching model (RCARRS) for estimating optimal hedge ratios, which generalizes the random coefficient autoregressive (RCAR) and Markov regime switching (MRS) models, is introduced. RCARRS, RCAR, MRS, BEKK‐GARCH, CC‐GARCH, and OLS are...