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A regime-switching real-time copula GARCH model for optimal futures hedging
16 references·2 citing·32 second hop
A regime-switching real-time copula GARCH model for optimal futures hedging (2022)A regime-switching real-time copula GARCH…Geographic proximity and corporate investment efficiency: Evidence from high-speed rail construction in China (2022)Geographic proximity and corp…Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting (2021)Capturing the dynamics of the…Hedging stocks with oil (2019)Hedging stocks with oilVolatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Crude oil hedging strategies using dynamic multivariate GARCH (2011)Crude oil hedging strategies …A Markov regime switching approach for hedging energy commodities (2008)A Markov regime switching app…Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…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 (1995)Comparing Predictive AccuracyAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…How does central bank transparency affect systemic risk? Evidence from developed and developing countries (2022)How does central bank transpa…Green recovery through financial inclusion of mobile payment: A study of low- and middle-income Asian countries (2022)Green recovery through financ…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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Empirical exchange rate models of the seventies (1983)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Approximately normal tests for equal predictive accuracy in nested models (2006)Tests of Conditional Predictive Ability (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Combining forecasts: A review and annotated bibliography (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Econometric Analysis of Cross Section and Panel Data (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
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References

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  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
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  • 2022Geographic proximity and corporate investment efficiency: Evidence from high-speed rail construction in China269 cited
  • 2008A Markov regime switching approach for hedging energy commodities203 cited

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2019
Hedging stocks with oil
172 cited
  • 2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting141 cited
  • Cited by

    • 2022Green recovery through financial inclusion of mobile payment: A study of low- and middle-income Asian countries58 cited
    • 2022How does central bank transparency affect systemic risk? Evidence from developed and developing countries17 cited