A Markov regime switching approach for hedging stock indices

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Markov switching GARCH models for Bayesian hedging on energy futures markets (2013, methodology): “Alizadeh and Nomikos [2004] on the other hand follow the second approach and estimate time-varying hedge ratio by specifying a Markov switching variance model. More specifically, the time-varying variance is defined as an exponential function of the lagged 4-week moving average of the difference bet”
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios (2007, background): “1 Alizadeh and Nomikos ( 2004 ) also propose a Markov regime switching approach (Hamilton, 1989 ) for hedging stock indices.”
A Markov regime switching approach for hedging energy commodities (2008, methodology): “Alizadeh and Nomikos (2004) allow for changes in the market conditions to affect the hedge ratios.”