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ArticleA regime-switching real-time copula GARCH model for optimal futures hedging

Hsiang‐Tai Lee2022

Article2022

A regime-switching real-time copula GARCH model for optimal futures hedging

Hsiang‐Tai Lee · Chien‐Chiang Lee

25 citations·0/0 files stored·International Review of Financial Analysis

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

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1994Autoregressive conditional heteroskedasticity and changes in regime 1998Modeling Asymmetric Comovements of Asset Returns 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1996Modeling the conditional distribution of interest rates as a regime-switching process 1996Asymptotic Inference about Predictive Ability

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Year2022

Typearticle

Published2022-10-19

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2022.102395

openalex_workW4306812401

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