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- 저자 : Hsiang-Tai Lee (검색결과 3 건)
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An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging
Hsiang-Tai Lee 사람과세계경영학회 2019 Global Business and Finance Review Vol.24 No.3
In this paper, an asynchronous Markov regime switching generalized orthogonal GARCH (ARSGO) model for optimal futures hedging is proposed. The proposed ARSGO is a regime switching GO GARCH such that different financial variables are governed by different state variables with the dependence of switching captured by a synchronization factor. Different from the conventional single-state-variable regime switching GO GARCH (RSGO), the multiple-state-variable ARSGO is more flexible in capturing the time-varying state-dependent correlation between spot and futures returns. ARSGO is applied to TAIEX futures to cross hedge the spot exposure of Taiwan stock sector indices. The empirical results reveal that the hedging effectiveness of ARSGO is superior to its nested models including the state-independent generalized orthogonal GARCH (GO) and the conventional single-state-variable RSGO models in terms of variance reductions and utility gains.
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Quantum Noise on a Point Charge from Electromagnetic Squeezed Vacuum Fluctuations
Tai-Hung Wu,Da-Shin Lee,Jen-Tsung Hsiang 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.57 No.31
The effect of quantum noises on a point charge from electromagnetic squeezed vacuum fluctuations is studied. Here a novel reduction phenomenon in velocity dispersion is found in the situation when the particle barely moves. It shows that the velocity dispersion of the charge can be reduced below the value solely given by the normal vacuum states of the electromagnetic fields by using an appropriate choice of the squeeze parameters. This may be viewed as a transient phenomenon. Optimally utilizing this reduction scheme for gravitational wave detection is possible, but challenging.
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Does the Value Spread Predict International Stock Returns?
Yu-Ru Huang,Kuan-Cheng Ko,Hsiang-Tai Lee,Shinn-Juh Lin 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
This paper conducts an extensive empirical study on the predictive ability of the value spread based on a sample of 42 MSCI countries. Methodologically, we extend Liu and Zhang's (2008) analysis in an international framework, and nd consistent results that the value spread has little predictive ability on stock returns, while the two components (the book-to-market spread, and the market-to-book spread) predict stock returns with signi cant yet opposite signs. Compared with the book-to-market spread and the value spread, the market- to-book spread demonstrates particularly stronger predictive power not only for country-speci c returns, but also for returns of regional and industrial port- folios.
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