The constant proportion portfolio insurance (CPPI) achieves the advantage of simplicity due to its constant multiple. However, a dynamic multiple could improve the effectiveness of portfolio management. In this article, we provide a complete and detailed examination of the mechanism of variable...

This study applies a cointegration system that considers regime shifts in order to study the long-run relationship between the stock index and stock index futures markets. The MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and Singapore Exchange (SGX) Straits Times indices are examined. The...

Previous research indicates that the maximum likelihood estimates of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models on foreign exchange rates, under various distributional assumptions, are sensitive to the presence of outliers. The advantage of the proposed Bounded...