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Hedging with floor-traded and E-mini stock index futures
Chiu, Chien-liang; Wu, Pei-shan; Chen, Chun-Da; Cheng, … - In: Quarterly journal of business and economics : QJBE 44 (2005) 3/4, pp. 49-68
Persistent link: https://www.econbiz.de/10003059289
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Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Zhipeng, Yan; Shenghong, Li - In: Finance research letters 24 (2018), pp. 49-55
Persistent link: https://www.econbiz.de/10011982461
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Optimal hedge ratios based on Markov-switching dynamic copula models
Li, Jinzhi - In: Journal of risk 20 (2017/2018) 6, pp. 55-74
Persistent link: https://www.econbiz.de/10011962417
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging stock sector exposures compared with the TAIEX and Taiwan 50 futures. Simultaneous hedge using both NFNE and MSCI …
Persistent link: https://www.econbiz.de/10011883272
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An asynchronous regime switching GO GARCH model for optimal futures hedging
Lee, Hsiang-Tai - In: Global business and finance review 24 (2019) 3, pp. 65-78
Persistent link: https://www.econbiz.de/10012121320
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Does the introduction of stock index futures destabilize the spot market? : Some cross-country evidence from Asia
Dong, Yan; Fan, Cijun; Zhang, Dayong - In: The Chinese economy 49 (2016) 5, pp. 374-394
Persistent link: https://www.econbiz.de/10011666780
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Modeling ultra-high-frequency data : the S&P 500 index future
Minozzo, Marco; Centanni, Silvia - In: Mathematical and statistical methods in insurance and …, (pp. 165-172). 2008
Persistent link: https://www.econbiz.de/10003838556
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Essays on asset allocation with derivatives and model estimation
Breuer, Beate - 2009
Persistent link: https://www.econbiz.de/10003823672
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Option pricing with regime switching tempered stable processes
Lin, Zuodong; Račev, Svetlozar T.; Kim, Young Shin; … - 2012
In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...
Persistent link: https://www.econbiz.de/10009576324
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The momentum and mean reversion of Nikkei index futures : a Markov chain analysis
Peng, Ke; Shiyun, Wang - In: Advances in quantitative analysis of finance and … 6 (2008), pp. 239-251
Persistent link: https://www.econbiz.de/10003733886