1,721,052 research outputs found
Optimal futures hedging under jump switching dynamics
No full text[[abstract]]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 post both the distributions of jumps and state variables and a recombining procedure to solve the path-dependency problem. To justify the usefulness of the JSGO on dynamic futures hedging, hedging exercises are performed using FTSE 100 futures data traded in the London International Financial Futures and Options Exchange (LIFFE). JSGO exhibits good out-of-sample performance compared to its jump-free and state-independent counterparts in terms of both criteria of variance reductions and utility improvements. (C) 2008 Elsevier B.V. All rights reserved.[[note]]SSC
A COPULA-BASED REGIME-SWITCHING GARCH MODEL FOR OPTIMAL FUTURES HEDGING
No full text[[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 normality. Second, RSGC adopts an independent switching Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process to avoid the path-dependency problem. Third, based on the assumption of independent switching, a formula is derived for calculating the minimum variance hedge ratio. Empirical investigation in agricultural commodity markets reveals that RSGC provides good out-of-sample hedging effectiveness, illustrating importance of modeling regime shift and asymmetric dependence for futures hedging. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:946-972, 2009[[note]]SSC
Regime switching correlation hedging
No full text[[abstract]]This paper investigates the hedging effectiveness of commodity futures when the correlations of spot and futures returns are subject to multi-state regime shifts. An independent switching dynamic conditional correlation GARCH (IS-DCC) which is free from the problems of path-dependency and recombining is applied to model multi-regime switching correlations. The results of hedging exercises indicate that state-dependent IS-DCC outperforms state-independent DCC GARCH and three-state IS-DCC exhibits superior hedging effectiveness, illustrating importance of modeling higher-state switching correlations for dynamic futures hedging. (C) 2010 Elsevier B.V. All rights reserved.[[note]]SSC
OPTIMAL FUTURES HEDGING UNDER MULTICHAIN MARKOV REGIME SWITCHING
No full text[[abstract]]Most of the existing Markov regime switching GARCH-hedging models assume a common switching dynamic for spot and futures returns. In this study, we release this assumption and suggest a multichain Markov regime switching GARCH (MCSG) model for estimating state-dependent time-varying minimum variance hedge ratios. Empirical results from commodity futures hedging show that MCSG creates hedging gains, compared with single-state-variable regime-switching GARCH models. Moreover, we find an average of 24% cross-regime probability, indicating the importance of modeling cross-regime dynamic in developing optimal futures hedging strategies. (c) 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:173-202, 2014[[note]]SSC
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
No full text[[abstract]]This article develops a new bivariate Markov regime switching BEKK-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK-GARCH model and an extension of Gray's univariate generalized regime-switching (GRS) model to the bivariate case. To solve the path-dependency problem inherent in the bivariate regime switching BEKK-GARCH model, we propose a recombining method for the covariance term in the conditional variance-covariance matrix. The model is applied to estimate time-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio variance show that compared to the state-in dependent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging effectiveness for both corn and nickel data. We perform White's (2000) data-snooping reality check to test for predictive superiority of RS-BEKK-GARCH over the benchmark model and find that the difference in variance reduction between BEKK-GARCH and RS-BEKK-GARCH is not statistically significant for either data set at conventional confidence levels.[[note]]SSC
Cross hedging single stock with American Depositary Receipt and stock index futures
No full text[[abstract]]This paper investigates the cross hedging effectiveness of individual stock in a market that does not have single stock futures traded using American Depositary Receipt (ADR) and stock index futures. We apply Caporin and Billio's Multivariate regime switching GARCH to capture the state-dependent covariance structure of underlying stock, ADR and stock index futures. Empirical results indicate that in general simultaneous hedging with both ADR and index futures creates hedging gains and incorporating regime switching effects further increases the hedging performances. (C) 2010 Elsevier Inc. AB rights reserved.[[note]]SSC
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
- …
