Optimal futures hedging under jump switching dynamics

@inproceedings{Lee2009OptimalFH,
  title={Optimal futures hedging under jump switching dynamics},
  author={Hsiang-Tai Lee},
  year={2009}
}
The article develops a Markov regime switching Generalized Orthogonal GARCH model with conditional jump dynamics (JSGO) for optimal futures hedging. To the author's knowledge, there is no existing study on dynamic futures hedging investigating both the effects of regime switching and conditional jumps. This might be the fact that there is no existing hedging model encompassing both of these features. The JSGO solves this problem by introducing a jump switching filtering algorithm to infer ex… CONTINUE READING

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Optimal hedging when the underlying asset follows a regime-switching Markov process

  • European Journal of Operational Research
  • 2012
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