A note on the performance of regime switching hedge strategy
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- Chi Keung Marco Lau & Mehmet Huseyin Bilgin, 2013.
"Hedging with Chinese Aluminum Futures: International Evidence with Return and Volatility Spillover Indices Under Structural Breaks,"
Emerging Markets Finance and Trade,
M.E. Sharpe, Inc., vol. 49(S1), pages 37-48, January.
- Chi Keung Marco Lau & Mehmet Huseyin Bilgin, 2013. "Hedging with Chinese Aluminum Futures: International Evidence with Return and Volatility Spillover Indices Under Structural Breaks," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S1), pages 37-48, January.
- François, Pascal & Gauthier, Geneviève & Godin, Frédéric, 2014. "Optimal hedging when the underlying asset follows a regime-switching Markov process," European Journal of Operational Research, Elsevier, vol. 237(1), pages 312-322.
- Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
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