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News sentiment and stock market volatility
Hsu, Yen-Ju; Lu, Yang-cheng; Yang, J. Jimmy - In: Review of quantitative finance and accounting 57 (2021) 3, pp. 1093-1122
Persistent link: https://www.econbiz.de/10012620049
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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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A full jump switching level GARCH model for short-term interest rate
Sheu, Her-jiun; Lee, Hsiang-tai - In: Applied financial economics 22 (2012) 4/6, pp. 479-489
Persistent link: https://www.econbiz.de/10009581297
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Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun; Lee, Hsiang-tai - In: The journal of futures markets 34 (2014) 2, pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
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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