Bivariate mixed normal GARCH models and out-of-sample hedge performances
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- Zhipeng, Yan & Shenghong, Li, 2018. "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, vol. 24(C), pages 49-55.
- Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
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Keywords
Hedge performances Regime-dependent correlations Conditional variance Bivariate mixed normal BEKK-GARCH SPA tests;Statistics
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