All Stories

  1. Economic evaluation of dynamic hedging strategies using high-frequency data

    Article • Finance Research Letters, November 2023, Elsevier

    Dr Yu-Sheng Lai

  2. Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns

    Article • Journal of Futures Markets, March 2023, Wiley

    Dr Yu-Sheng Lai

  3. Improving hedging performance by using high–low range

    Article • Finance Research Letters, August 2022, Elsevier

    Dr Yu-Sheng Lai

  4. High‐frequency data and stock–bond investing

    Article • Journal of Forecasting, July 2022, Wiley

    Dr Yu-Sheng Lai

  5. Use of high‐frequency data to evaluate the performance of dynamic hedging strategies

    Article • Journal of Futures Markets, September 2021, Wiley

    Dr Yu-Sheng Lai

  6. Generalized autoregressive score model with high‐frequency data for optimal futures hedging

    Article • Journal of Futures Markets, August 2021, Wiley

    Dr Yu-Sheng Lai

  7. Flexible covariance dynamics, high‐frequency data, and optimal futures hedging

    Article • Journal of Futures Markets, September 2019, Wiley

    Dr Yu-Sheng Lai

  8. Evaluating the hedging performance of multivariate GARCH models

    Article • Asia Pacific Management Review, March 2019, Elsevier

    Dr Yu-Sheng Lai

  9. Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model

    Article • Journal of Futures Markets, June 2018, Wiley

    Dr Yu-Sheng Lai

  10. Dynamic hedging with futures: a copula-based GARCH model with high-frequency data

    Article • Review of Derivatives Research, February 2018, Springer Science + Business Media

    Dr Yu-Sheng Lai

  11. A Bivariate High-Frequency-Based Volatility Model for Optimal Futures Hedging

    Article • Journal of Futures Markets, February 2017, Wiley

    Dr Yu-Sheng Lai, Donald Lien

  12. A Multivariate Markov Regime-Switching High-Frequency-Based Volatility Model for Optimal Futures Hedging

    Article • Journal of Futures Markets, February 2017, Wiley

    Dr Yu-Sheng Lai

  13. Hedge Ratio Prediction With Noisy HF Data

    Article • Journal of Futures Markets, July 2015, Wiley

    Dr Yu-Sheng Lai

  14. Incremental Value of a Futures Hedge Using Realized Ranges

    Article • Journal of Futures Markets, March 2013, Wiley

    Dr Yu-Sheng Lai

  15. On the importance of asymmetries for dynamic hedging during the subprime crisis

    Article • Applied Financial Economics, March 2011, Taylor & Francis

    Dr Yu-Sheng Lai

  16. The incremental value of a futures hedge using realized volatility

    Article • Journal of Futures Markets, January 2009, Wiley

    Dr Yu-Sheng Lai