Some Recent Developments in Futures Hedging

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MGARCH models: Trade-off between feasibility and flexibility (2018, background): “…systems of financial returns; see, for example, Bollerslev et al. (1988), Attanasio (1991), De Santis and Gerard (1997), Hansson and Hordahl (1998), Lien and Tse (2002), Engle and Colacito (2006), Andersen et al. (2007), McNeil et al. (2010), Santos et al. (2012) and Santos et al. (2013), for a…”
Multivariate GARCH Models: A Survey (2003, background): “See Lien and Tse (2002) for a survey on hedging and additional references.”
A Markov regime switching approach for hedging energy commodities (2008, background): “However, these gains are market specific and vary across different contracts while, occasionally, the benefits in terms of risk reduction seem to be minimal (Lien and Tse, 2002).”
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010, unknown): “da Veiga, Chan and McAleer (2008) analyzed the multivariate vector ARMA-GARCH (VARMAGARCH) model of Ling and McAleer (2003) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) model of McAleer, Hoti and Chan (2009), and found that they were superior to the GARCH model of Bollerslev (1986) and the GJR mo”
Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets (2008, unknown): “Sultan (1993), Lien, (1996), Lien and Tse (1999), and Lien, Tse, and Tsui (2002)).”