References
- Alizadeh , A and Nomikos , N . 2004 . A Markov regime switching approach for hedging stock indices . The Journal of Futures Markets , 24 : 649 – 74 .
- Alizadeh , A and Nomikos , N . 2008 . A Markov regime switching approach for hedging energy commodities . Journal of Banking and Finance , 32 : 1970 – 83 .
- Baillie , RT and Myers , RJ . 1991 . Bivariate GARCH estimation of the optimal commodity futures hedge . Journal of Applied Econometrics , 6 : 109 – 24 .
- Brooks , C , Henry , OT and Persand , G . 2002 . The effect of asymmetries on optimal hedge ratios . Journal of Business , 75 : 333 – 52 .
- Byström , HNE . 2003 . The hedging performance of electricity futures on the Nordic power exchange . Applied Economics , 35 : 1 – 11 .
- Cai , J . 1994 . A Markov model of switching-regime ARCH . Journal of Business and Economic Statistics , 12 : 309 – 16 .
- Coakley , J , Dollery , J and Kellard , N . 2008 . The role of long memory in hedging effectiveness . Computational Statistics and Data Analysis , 52 : 3075 – 82 .
- Dark , J . 2007 . Basis convergence and long memory in volatility when dynamic hedging with futures . Journal of Financial and Quantitative Analysis , 42 : 1021 – 40 .
- Diebold , FX and Mariano , RS . 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics , 13 : 253 – 63 .
- Engle , RF and Granger , CWJ . 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
- Gagnon , L and Lypny , G . 1995 . Hedging short-term interest risk under time-varying distribution . The Journal of Futures Markets , 15 : 767 – 83 .
- Geweke, J. and Porter-Hudak, S. (GPH) (1983) The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221–38.
- Gray , SF . 1996 . Modeling the conditional distribution of interest rates as a regime-switching process . Journal of Financial Economics , 42 : 27 – 62 .
- Hamilton , JD and Susmel , R . 1994 . Autoregressive conditional heteroscedasticity and changes in regime . Journal of Econometrics , 64 : 307 – 33 .
- Kroner , KF and Sultan , J . 1993 . Time-varying distribution and dynamic hedging with foreign currency futures . Journal of Financial and Quantitative Analysis , 28 : 535 – 51 .
- Lafuente , J and Novales , A . 2003 . Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market . Journal of Banking and Finance , 27 : 1053 – 78 .
- Lee , HT . 2009a . Optimal futures hedging under jump switching dynamics . Journal of Empirical Finance , 16 : 446 – 56 .
- Lee , HT . 2009b . A copula-based regime-switching GARCH model for optimal futures hedging . Journal of Futures Markets , 29 : 946 – 72 .
- Lee , HT and Yoder , JK . 2007a . Optimal hedging with a regime-switching time-varying correlation GARCH model . The Journal of Futures Markets , 27 : 495 – 516 .
- Lee , HT and Yoder , JK . 2007b . A bivariate Markov regime switching GARCH approach to estimate the time varying minimum variance hedge ratio . Applied Economics , 39 : 1253 – 65 .
- Lee , HT , Yoder , JK , Mittelhammer , RC and McCluskey , JJ . 2006 . A random coefficient autoregressive Markov regime switching model for dynamic futures hedging . The Journal of Futures Markets , 26 : 103 – 29 .
- Lien , D and Tse , YK . 1999 . Fractional cointegration and futures hedging . Journal of Futures Markets , 19 : 457 – 74 .
- Lien , D and Yang , L . 2008 . Asymmetric effect of basis on dynamic futures hedging: empirical evidence from commodity markets . Journal of Banking and Finance , 32 : 187 – 98 .
- McCracken , M . 2007 . Asymptotics for out-of-sample tests of Granger causality . Journal of Econometrics , 140 : 719 – 52 .
- Park , TH and Switzer , LN . 1995 . Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: a note . The Journal of Futures Markets , 15 : 61 – 7 .
- Sarno , L and Valente , G . 2000 . The cost of carry model and regime shifts in stock index futures markets: an empirical investigation . The Journal of Futures Markets , 20 : 603 – 24 .
- Sarno , L and Valente , G . 2005a . Empirical exchange rate models and currency risk: some evidence from density forecasts . Journal of International Money and Finance , 24 : 363 – 85 .
- Sarno , L and Valente , G . 2005b . Modelling and forecasting stock returns: exploiting the futures market, regime shifts, and international spillovers . Journal of Applied Econometrics , 20 : 345 – 76 .
- Weide , RVD . 2002 . GO-GARCH: a multivariate generalized orthogonal GARCH model . Journal of Applied Econometrics , 17 : 549 – 64 .
- West , KD . 1996 . Asymptotic inference about predictive ability . Econometrica , 64 : 1067 – 84 .