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Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH · Study

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ArticleFutures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

Jonathan Dark2015

Article2015

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

20 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1993Measuring and Testing the Impact of News on Volatility 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1996Long memory processes and fractional integration in econometrics 1994Autoregressive conditional heteroskedasticity and changes in regime 1979The Hedging Performance of the New Futures Markets 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1996Modeling the conditional distribution of interest rates as a regime-switching process 2010Volatility forecast comparison using imperfect volatility proxies

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2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futuresarticle · 14 shared references 2013Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approacharticle · 12 shared references 2007Hedging with Chinese Metal Futuresarticle · 10 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 9 shared references 2005Volatility Transmission Models: A Surveypreprint · 9 shared references 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?article · 8 shared references

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Year2015

Typearticle

Published2015-08-14

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2015.08.017

openalex_workW1196427486

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