A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios

By Hsiang‐Tai Lee, J. Yoder. 2007

119 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c61dad9e0ed3c8b9bea95f0b7538819bf9004409

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. Rong Li
2. Sufang Li
3. Monica Billio
4. Roberto Casarin
5. Anthony Osuntuyi
6. Huiming Zhu
7. Juri Marcucci

In Finance

1. Rong Li
2. Sufang Li
3. Monica Billio
4. Roberto Casarin
5. Anthony Osuntuyi
6. Huiming Zhu
7. Juri Marcucci

Citations in the corpus

• Markov switching GARCH models for Bayesian hedging on energy futures markets (2013, background): “Alizadeh et al. (2008), Lee and Yoder (2007a), Lee and Yoder (2007b), among others, propose various multivariate Markov-switching (MS) GARCH (MS-GARCH) models.”
• Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2014, methodology): “Miller and Ratti (2009) examine the relationship between oil prices and stock returns in six OECD countries, using a cointegrated vector error correlation, which is a negative correlation supported by most literature on the subject.”