A Markov Regime Switching approach for hedging stock indices
Article Abstract:
A new approach for determining time-varying minimum variance hedge ratio in stock index futures markets is described using Markov Regime Switching (MRS) models. When the MRS hedge ratios was compared to that of alternative models, the in-and-out tests indicate that MRS hedge ratios outperform the other models in reducing portfolio risking the FTSE 100 market.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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A random coefficient autoregressive Markov regime switching model for dynamic futures hedging
Article Abstract:
The random coefficient autoregressive Markov regime switching model (RCARRS) used for approximating optimal hedge ratios, which extrapolates random coefficient autoregressive (RCAR) and Markov regime switching models (MRS), is advanced and discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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