A note on the performance of regime switching hedge strategy

作者:Lien Donald*
来源:Journal of Futures Markets, 2012, 32(4): 389-396.
DOI:10.1002/fut.20520

摘要

We characterize conditions under which the regime switching (RS) hedge strategy will perform better than the ordinary least squares (OLS) hedge strategy. The result can be extended to the case where the GARCH effects prevail. Specifically, these conditions would allow the RS-GARCH hedge strategy to dominate both OLS and GARCH hedge strategies.

  • 出版日期2012-4