Evaluating the hedging performance of the constant-correlation GARCH model

By Donald Lien, Y. Tse, Albert K. Tsui. 2002

214 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a1e120782d2a231299f88d5d3b248aab2abf2225

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Albert K. Tsui
2. Y. Ku
3. Kuang-hua Chen
4. Ho-Chyuan Chen
5. Y. Tse
6. Timo Teräsvirta
7. D. McMillan
8. J. Yoder

In Finance

1. Albert K. Tsui
2. Y. Ku
3. Kuang-hua Chen
4. Ho-Chyuan Chen
5. Y. Tse
6. Timo Teräsvirta
7. D. McMillan
8. J. Yoder

Citations in the corpus

• A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios (2007, background): “…& Francis 1253 http://www.tandf.co.uk/journals DOI: 10.1080/00036840500438970 Aragó and Fernández, 2002; Brooks et al., 2002; Floros and Vougas, 2004) and commodity futures (Baillie and Myers, 1991; Myers, 1991; Bera et al., 1997; Lien et al., 2002; Byström, 2003; Soydemir and Petrie, 2003).”
• Realised hedge ratio properties, performance and implications for risk management: evidence from the spanish ibex 35 spot and futures markets (2010, background): “Although, and furthermore, both these approaches suffer from the drawback that volatilities are constructed from 1 Also see Abdulnasser and Roca (2006), Lien et al (2002) and Ahmad and Manesh (2006).”
• A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002, methodology): “Lien et al. (2001) reported dif culties in getting convergence when they used the BEKK model to estimate the conditional-variance structure of spot and futures prices.”
• On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007, methodology): “In terms of hedging effectiveness, this article demonstrates that the DCC-GARCH model is superior to the traditional OLS model and CCC-GARCH model (which is the worst performing method in the article), resembling Lien and Luo (1994) (see also Lien et al. 2002).”
• Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets (2008, unknown): “Most research focuses on the effect of basis on the level of spot and futures price movements in the models where MVHRs are estimated (Kroner and Sultan (1993), Lien, 1996), Lien and Tse (1999), and Lien et al. (2002)).”