Hung, Jui-Cheng; Wang, Yi-Hsien; Chang, Matthew C.; … - In: Energy 36 (2011) 5, pp. 3050-3057
This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS...