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Optimal Futures Hedging Under Multichain Markov Regime Switching

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  • Her‐Jiun Sheu
  • Hsiang‐Tai Lee

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  • Her‐Jiun Sheu & Hsiang‐Tai Lee, 2014. "Optimal Futures Hedging Under Multichain Markov Regime Switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(2), pages 173-202, February.
    • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:2:p:173-202
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    File URL: http://hdl.handle.net/10.1002/fut.21583
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    Cited by:

    1. Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    3. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Suh, Jong Hwan, 2015. "Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques," Technological Forecasting and Social Change, Elsevier, vol. 94(C), pages 115-132.
    5. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
    6. Wen-Chung Hsu & Hsiang-Tai Lee, 2018. "Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk," IJFS, MDPI, vol. 6(2), pages 1-17, April.

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