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ArticleHedge ratio on Markov regime-switching diagonal Bekk–Garch model

Zhipeng Yan2017

Article2017

Hedge ratio on Markov regime-switching diagonal Bekk–Garch model

Zhipeng Yan · Shenghong Li

25 citations·0/0 files stored·Finance research letters

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

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References

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 1990Persistence in Variance, Structural Change, and the GARCH Model 1991Bivariate garch estimation of the optimal commodity futures Hedge 1976The Theory of Hedging and Speculation in Commodity Futures 1960The Theory of Hedging and Speculation in Commodity Futures 1976The Simultaneous Determination of Spot and Futures Prices

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Year2017

Typearticle

Published2017-06-21

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2017.06.015

openalex_workW2648358795

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