𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Markov regime switching approach for hedging energy commodities

✍ Scribed by Amir H. Alizadeh; Nikos K. Nomikos; Panos K. Pouliasis

Book ID
116615159
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
259 KB
Volume
32
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A Markov regime switching approach for h
A Markov regime switching approach for hedging stock indices
✍ Amir Alizadeh; Nikos Nomikos πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 380 KB

## Abstract In this paper we describe a new approach for determining time‐varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot an

A Markov regime-switching ARMA approach
A Markov regime-switching ARMA approach for hedging stock indices
✍ Chao-Chun Chen; Wen-Jen Tsay πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 288 KB

We thank the editor and referee for their valuable comments and suggestions. The first author also thanks the financial support from the Social Science Research Center of Taiwan. The current version is a substantial revision of our previous study entitled "Estimating Regime-Switching ARMA Models wit

A random coefficient autoregressive Mark
A random coefficient autoregressive Markov regime switching model for dynamic futures hedging
✍ Hsiang-Tai Lee; Jonathan K. Yoder; Ron C. Mittelhammer; Jill J. McCluskey πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 392 KB

## Abstract The random coefficient autoregressive Markov regime switching model (RCARRS) for estimating optimal hedge ratios, which generalizes the random coefficient autoregressive (RCAR) and Markov regime switching (MRS) models, is introduced. RCARRS, RCAR, MRS, BEKK‐GARCH, CC‐GARCH, and OLS are

Switching between chartists and fundamen
Switching between chartists and fundamentalists: a Markov regime-switching approach
✍ Robert Vigfusson πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 329 KB

Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe, 1990). In response to this problem, Frankel and Froot (1988) developed a model where two approaches are used to forecast the exchange rate. The fundamentalist approach