-
1
-
-
2942563796
-
A Markov regime switching approach for hedging stock indices
-
Alizadeh A.H., and Nomikos N. A Markov regime switching approach for hedging stock indices. The Journal of Futures Markets 24 (2004) 649-674
-
(2004)
The Journal of Futures Markets
, vol.24
, pp. 649-674
-
-
Alizadeh, A.H.1
Nomikos, N.2
-
2
-
-
0005880209
-
Answering the sceptics: yes, standard volatility models do provide accurate forecasts
-
Andersen T.G., and Bollerslev T. Answering the sceptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39 (1998) 885-905
-
(1998)
International Economic Review
, vol.39
, pp. 885-905
-
-
Andersen, T.G.1
Bollerslev, T.2
-
3
-
-
48749111161
-
-
Baba, Y., Engle, R., Kraft, D., Kroner, K., 1987. Multivariate Simultaneous Generalized ARCH. University of California, San Diego, unpublished manuscript.
-
Baba, Y., Engle, R., Kraft, D., Kroner, K., 1987. Multivariate Simultaneous Generalized ARCH. University of California, San Diego, unpublished manuscript.
-
-
-
-
4
-
-
42449156579
-
Generalised autoregressive conditional heteroscedasticity
-
Bollerslev T. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
5
-
-
70350121603
-
ARCH models
-
Engle M. (Ed), North-Holland, Amsterdam
-
Bollerslev T., Engle R.F., and Nelson D.B. ARCH models. In: Engle M. (Ed). Handbook of Econometrics (1994), North-Holland, Amsterdam 2959-3038
-
(1994)
Handbook of Econometrics
, pp. 2959-3038
-
-
Bollerslev, T.1
Engle, R.F.2
Nelson, D.B.3
-
6
-
-
35548931351
-
Efficient tests for normality, heteroscedasticity, and serial dependence of regression residuals
-
Bera A., and Jarque C. Efficient tests for normality, heteroscedasticity, and serial dependence of regression residuals. Economic Letters 6 (1980) 255-259
-
(1980)
Economic Letters
, vol.6
, pp. 255-259
-
-
Bera, A.1
Jarque, C.2
-
8
-
-
0000246426
-
Hedging with the Nikkei index futures: the conventional versus the error correction model
-
Chou W., Denis K., and Lee C. Hedging with the Nikkei index futures: the conventional versus the error correction model. The Quarterly Review of Economics and Finance 36 (1996) 495-505
-
(1996)
The Quarterly Review of Economics and Finance
, vol.36
, pp. 495-505
-
-
Chou, W.1
Denis, K.2
Lee, C.3
-
9
-
-
0031492875
-
Short run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan
-
Choudhry T. Short run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan. The Journal of Futures Markets 17 (1997) 689-705
-
(1997)
The Journal of Futures Markets
, vol.17
, pp. 689-705
-
-
Choudhry, T.1
-
11
-
-
0031542612
-
Markov switching in GARCH processes and mean reverting stock market volatility
-
Dueker M.J. Markov switching in GARCH processes and mean reverting stock market volatility. Journal of Business and Economic Statistics 15 (1997) 26-34
-
(1997)
Journal of Business and Economic Statistics
, vol.15
, pp. 26-34
-
-
Dueker, M.J.1
-
12
-
-
84977354474
-
The hedging performance of the new futures markets
-
Ederington L.H. The hedging performance of the new futures markets. The Journal of Finance 34 (1979) 157-170
-
(1979)
The Journal of Finance
, vol.34
, pp. 157-170
-
-
Ederington, L.H.1
-
13
-
-
38149147790
-
Can the Markov switching model forecast exchange rates?
-
Engle C. Can the Markov switching model forecast exchange rates?. Journal of International Economics 36 (1994) 151-165
-
(1994)
Journal of International Economics
, vol.36
, pp. 151-165
-
-
Engle, C.1
-
14
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation
-
Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica 50 (1982) 987-1008
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
15
-
-
0000013567
-
Cointegration and error correction: representation, estimation, and testing
-
Engle R.F., and Granger C.W. Cointegration and error correction: representation, estimation, and testing. Econometrica 55 (1987) 251-276
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.2
-
16
-
-
84974122247
-
Multivariate simultaneous generalized ARCH
-
Engle R.F., and Kroner K.F. Multivariate simultaneous generalized ARCH. Econometric Theory 11 (1995) 122-150
-
(1995)
Econometric Theory
, vol.11
, pp. 122-150
-
-
Engle, R.F.1
Kroner, K.F.2
-
17
-
-
0036139323
-
A Markov switching model of the conditional volatility of crude oil prices
-
Fong W.M., and See K.H. A Markov switching model of the conditional volatility of crude oil prices. Energy Economics 35 (2002) 71-95
-
(2002)
Energy Economics
, vol.35
, pp. 71-95
-
-
Fong, W.M.1
See, K.H.2
-
18
-
-
0742306194
-
Basis variations and regime-shifts in the oil futures market
-
Fong W.M., and See K.H. Basis variations and regime-shifts in the oil futures market. The European Journal of Finance 9 (2003) 499-513
-
(2003)
The European Journal of Finance
, vol.9
, pp. 499-513
-
-
Fong, W.M.1
See, K.H.2
-
19
-
-
0030242133
-
Modelling the conditional distribution of interest rates as regime switching process
-
Gray S.F. Modelling the conditional distribution of interest rates as regime switching process. Journal of Financial Economics 42 (1996) 27-62
-
(1996)
Journal of Financial Economics
, vol.42
, pp. 27-62
-
-
Gray, S.F.1
-
20
-
-
84978601031
-
Hedging with stock index futures: estimation and forecasting with error correction model
-
Ghosh A. Hedging with stock index futures: estimation and forecasting with error correction model. The Journal of Futures Markets 13 (1993) 743-752
-
(1993)
The Journal of Futures Markets
, vol.13
, pp. 743-752
-
-
Ghosh, A.1
-
22
-
-
0001342006
-
A new approach to the economic analysis of nonstationary time series and business cycle
-
Hamilton J.D. A new approach to the economic analysis of nonstationary time series and business cycle. Econometrica 57 (1989) 357-384
-
(1989)
Econometrica
, vol.57
, pp. 357-384
-
-
Hamilton, J.D.1
-
23
-
-
0003410290
-
-
Princeston University Press, Princeston, NJ
-
Hamilton J.D. Time Series Analysis (1994), Princeston University Press, Princeston, NJ
-
(1994)
Time Series Analysis
-
-
Hamilton, J.D.1
-
24
-
-
21144448250
-
Autoregressive conditional heteroscedasticity and changes in regime
-
Hamilton J.D., and Susmel. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics 64 (1994) 307-333
-
(1994)
Journal of Econometrics
, vol.64
, pp. 307-333
-
-
Hamilton, J.D.1
Susmel2
-
27
-
-
48749090607
-
-
Krolzig, H.M., 1999. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts. Department of Economics, University of Oxford, unpublished manuscript.
-
Krolzig, H.M., 1999. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts. Department of Economics, University of Oxford, unpublished manuscript.
-
-
-
-
28
-
-
84971942651
-
Time-varying distributions and dynamic hedging with foreign currency futures
-
Kroner K., and Sultan J. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28 (1993) 535-551
-
(1993)
Journal of Financial and Quantitative Analysis
, vol.28
, pp. 535-551
-
-
Kroner, K.1
Sultan, J.2
-
29
-
-
0037729185
-
Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futuresmarket
-
Lafuente J., and Novales A. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futuresmarket. Journal of Banking & Finance 27 (2003) 1053-1078
-
(2003)
Journal of Banking & Finance
, vol.27
, pp. 1053-1078
-
-
Lafuente, J.1
Novales, A.2
-
31
-
-
34447312834
-
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratio
-
Lee H., and Yoder J.K. A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratio. Applied Economics 39 10 (2007) 1253-1265
-
(2007)
Applied Economics
, vol.39
, Issue.10
, pp. 1253-1265
-
-
Lee, H.1
Yoder, J.K.2
-
32
-
-
34247495425
-
Optimal hedging with a regime-switching time-varying correlation GARCH model
-
Lee H., and Yoder J.K. Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets 27 5 (2007) 495-516
-
(2007)
Journal of Futures Markets
, vol.27
, Issue.5
, pp. 495-516
-
-
Lee, H.1
Yoder, J.K.2
-
33
-
-
48749091691
-
Spread and volatility in spot and forward exchange rates
-
Lee T. Spread and volatility in spot and forward exchange rates. Journal of Business & Economic Statistics 8 (1994) 375-383
-
(1994)
Journal of Business & Economic Statistics
, vol.8
, pp. 375-383
-
-
Lee, T.1
-
34
-
-
0030524637
-
The effect of the cointegration relationship on futures hedging: a note
-
Lien D. The effect of the cointegration relationship on futures hedging: a note. Journal of Futures Markets 16 (1996) 773-780
-
(1996)
Journal of Futures Markets
, vol.16
, pp. 773-780
-
-
Lien, D.1
-
35
-
-
0036074542
-
Some recent developments in futures hedging
-
Lien D., and Tse Y.K. Some recent developments in futures hedging. Journal of Economic Surveys 16 3 (2002) 357-396
-
(2002)
Journal of Economic Surveys
, vol.16
, Issue.3
, pp. 357-396
-
-
Lien, D.1
Tse, Y.K.2
-
36
-
-
0017846358
-
On a measure of lack of fit in time series models
-
Ljung M., and Box G. On a measure of lack of fit in time series models. Biometrika 65 (1978) 297-303
-
(1978)
Biometrika
, vol.65
, pp. 297-303
-
-
Ljung, M.1
Box, G.2
-
37
-
-
0009955839
-
High frequency Markov switching models in the foreign exchange market
-
Marsh I.W. High frequency Markov switching models in the foreign exchange market. Journal of Forecasting 19 (2000) 123-134
-
(2000)
Journal of Forecasting
, vol.19
, pp. 123-134
-
-
Marsh, I.W.1
-
38
-
-
0000631178
-
A note with the quantiles of the asymptotic distribution of the ML cointegration rank test statistics
-
Osterwald-Lenum M. A note with the quantiles of the asymptotic distribution of the ML cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 54 (1992) 461-472
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, pp. 461-472
-
-
Osterwald-Lenum, M.1
-
39
-
-
77956888124
-
Testing for a unit root in time series regressions
-
Phillips P., and Perron P. Testing for a unit root in time series regressions. Biometrika 75 (1988) 335-346
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.1
Perron, P.2
-
41
-
-
0034398027
-
The cost of carry model and regime shifts in stock index futures markets; An empirical investigation
-
Sarno L., and Valente G. The cost of carry model and regime shifts in stock index futures markets; An empirical investigation. The Journal of Futures Markets 20 (2000) 603-624
-
(2000)
The Journal of Futures Markets
, vol.20
, pp. 603-624
-
-
Sarno, L.1
Valente, G.2
-
42
-
-
0000120766
-
Estimating the dimension of a model
-
Schwartz G. Estimating the dimension of a model. Annals of Statistics 6 (1978) 461-464
-
(1978)
Annals of Statistics
, vol.6
, pp. 461-464
-
-
Schwartz, G.1
-
43
-
-
0005865794
-
Data-snooping, technical trading rule performance, and the bootstrap
-
Sullivan R., Timmermann A., and White H. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 54 5 (1999) 1647-1691
-
(1999)
Journal of Finance
, vol.54
, Issue.5
, pp. 1647-1691
-
-
Sullivan, R.1
Timmermann, A.2
White, H.3
-
44
-
-
0000028873
-
A reality check for data snooping
-
White H. A reality check for data snooping. Econometrica 68 (2000) 1097-1126
-
(2000)
Econometrica
, vol.68
, pp. 1097-1126
-
-
White, H.1
|