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A Markov regime-switching ARMA approach for hedging stock indices

✍ Scribed by Chao-Chun Chen; Wen-Jen Tsay

Book ID
102215771
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
288 KB
Volume
31
Category
Article
ISSN
0270-7314

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✦ Synopsis

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 with Extended Algorithms of Hamilton.

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