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Optimal Futures Hedging Under Multichain Markov Regime Switching
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Optimal Futures Hedging Under Multichain Markov Regime Switching (2012)Optimal Futures Hedging Under Multichain …Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China (2011)Intraday price discovery and …A Markov regime switching approach for hedging energy commodities (2008)A Markov regime switching app…Regime switching for dynamic correlations (2006)Regime switching for dynamic …Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…The Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The relationship between spot and futures prices: Evidence from the crude oil market (1999)The relationship between spot…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Empirical exchange rate models of the seventies (1983)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting stock market returns: The sum of the parts is more than the whole (2011)Forecasting Stock Returns (2013)Short interest and aggregate stock returns (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

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  • 1999The relationship between spot and futures prices: Evidence from the crude oil market290 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited
  • 2008A Markov regime switching approach for hedging energy commodities203 cited

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  • 2011Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China203 cited
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