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Incremental value of futures hedge using realized ranges
Sheu, Her-jiun; Lai, Yu-Sheng - In: The journal of futures markets 34 (2014) 7, pp. 676-689
Persistent link: https://www.econbiz.de/10010507941
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A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Sheu, Her-jiun; Lee, Hsiang-Tai - In: The journal of futures markets 37 (2017) 11, pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
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On the importance of asymmetries for dynamic hedging during the subprime crisis
Lai, Yu-Sheng; Sheu, Her-Jiun - In: Applied financial economics 21 (2011) 11, pp. 801-814
Persistent link: https://www.econbiz.de/10009029202
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On the importance of asymmetries for dynamic hedging during the subprime crisis
Lai, Yu-Sheng; Sheu, Her-Jiun - In: Applied Financial Economics 21 (2011) 11, pp. 801-813
Asymmetric responses to news in volatilities and correlations are important characteristics of many financial asset returns. This study investigates the asymmetries on spot and futures and extends the work of Kroner and Sultan (1993) using the Asymmetric Dynamic Conditional Correlation (ADCC)...
Persistent link: https://www.econbiz.de/10009200857