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...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

In this paper, we investigate the determinants of daily short selling activity for retail and foreign institutions and their impacts on stock returns, volatility and liquidity in the Taiwan stock markets. By using two metrics to measure the short selling activity for two investor types, we find...

This paper utilizes the most flexible skewed generalized t (SGT) distribution for describing petroleum and metal volatilities that are characterized by leptokurtosis and skewness in order to provide better approximations of the reality. The empirical results indicate that the forecasted...

This study provides a comprehensive analysis of the possible influences of jump dynamics, heavy-tails, and skewness with regard to VaR estimates through the assessment of both accuracy and efficiency. To this end, the ARJI model, and its degenerative GARCH model with normal, GED, and skewed...

Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...