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A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
16 references·13 citing·28 second hop
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios (2007)A bivariate Markov regime switching GARCH…The Effect of Asymmetries on Optimal Hedge Ratios (2002)The Effect of Asymmetries on …Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Regime switching in stock market returns (1997)Regime switching in stock mar…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive 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…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Estimation of the Optimal Futures Hedge (1988)Estimation of the Optimal Fut…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Assessing green bond risk: an empirical investigation (2021)Assessing green bond risk: an…Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks (2019)Futures hedging in crude oil …Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis (2018)Risk transmission between nat…Hedge ratio on Markov regime-switching diagonal Bekk–Garch model (2017)Hedge ratio on Markov regime-…Do commodities make effective hedges for equity investors? (2017)Do commodities make effective…Optimal hedging in carbon emission markets using Markov regime switching models (2016)Optimal hedging in carbon emi…Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets (2014)Markov Switching GARCH Models…Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach (2013)Measuring Hedging Effectivene…The (de)merits of minimum-variance hedging: Application to the crack spread (2012)The (de)merits of minimum-var…Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2011)Oil shock transmission to sto…Regime switching correlation hedging (2010)Regime switching correlation …A copula‐based regime‐switching GARCH model for optimal futures hedging (2009)A copula‐based regime‐switchi…Effectiveness of Minimum-Variance Hedging (2007)Effectiveness of Minimum-Vari…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)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)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Econometric Analysis of Cross Section and Panel Data (2001)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1994A Markov Model of Switching-Regime ARCH638 cited
  • 1988Estimation of the Optimal Futures Hedge395 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1997Regime switching in stock market returns

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335 cited
  • 2002The Effect of Asymmetries on Optimal Hedge Ratios251 cited
  • Cited by

    • 2011Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach97 cited
    • 2007Effectiveness of Minimum-Variance Hedging66 cited
    • 2010Regime switching correlation hedging61 cited
    • 2014Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets57 cited
    • 2012The (de)merits of minimum-variance hedging: Application to the crack spread47 cited
    • 2017Do commodities make effective hedges for equity investors?44 cited
    • 2009A copula‐based regime‐switching GARCH model for optimal futures hedging42 cited
    • 2018Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis41 cited
    • 2019Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks32 cited
    • 2016Optimal hedging in carbon emission markets using Markov regime switching models28 cited
    • 2013Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach27 cited
    • 2021Assessing green bond risk: an empirical investigation25 cited
    • 2017Hedge ratio on Markov regime-switching diagonal Bekk–Garch model25 cited