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Optimal futures hedging under jump switching dynamics

✍ Scribed by Hsiang-Tai Lee

Book ID
116641689
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
946 KB
Volume
16
Category
Article
ISSN
0927-5398

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πŸ“œ SIMILAR VOLUMES

A copula-based regime-switching GARCH mo
A copula-based regime-switching GARCH model for optimal futures hedging
✍ Hsiang-Tai Lee πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 264 KB

## Abstract The article develops a regime‐switching Gumbel–Clayton (RSGC) copula GARCH model for optimal futures hedging. There are three major contributions of RSGC. First, the dependence of spot and futures return series in RSGC is modeled using switching copula instead of assuming bivariate norm

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

Numerical solutions of quantile hedging
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
✍ Zhuo Jin; Yumin Wang; G. Yin πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 354 KB

This work develops numerical approximation methods for quantile hedging involving mortality components for contingent claims in incomplete markets, in which guaranteed minimum death benefits (GMDBs) could not be perfectly hedged. A regime-switching jump-diffusion model is used to delineate the dynam