Alizadeh, Amir; Nomikos, Nikos - In: Journal of Futures Markets 24 (2004) 7, pp. 649-674
In this paper we describe a new approach for determining time‐varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot and...