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2 research outputs found
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Author
Alizadeh A
Bera AK
+10Â more
Bollerlev T
Figlewki S
Gannon G
Gray SF
Hsiang-Tai Lee
Hwang S
Jonathan K. Yoder
Kash-Haroutounian M
Kuo C
Soydemir GA
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
The Out-of-Sample Forecasting of Hedged Portfolio Variances using Bivariate Mixed Normal GARCH Models
Author
Alexander C.
Bai X.
+21Â more
Ball C.A.
Black F.
Bollerslev T.
Bollerslev T.
Diebold F.X.
Ederington L.H.
Engle R.F.
Engle R.F.
Figlewki S.
Glen J.
Haas M.
Hansen P.R.
Hill J.
Kon S.J.
Kroner K.F.
Lien D.
Ljung G.M.
Politis D.N.
Solnik P.
Vlaar P.J.G.
White H.
Publication venue
'Hanyang Economic Research Institute'
Publication date
Field of study
No full text
Crossref