{"id":"https://openalex.org/W2981643236","doi":"https://doi.org/10.1109/tase.2019.2938673","title":"Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model","display_name":"Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model","publication_year":2019,"publication_date":"2019-10-21","ids":{"openalex":"https://openalex.org/W2981643236","doi":"https://doi.org/10.1109/tase.2019.2938673","mag":"2981643236"},"language":"en","primary_location":{"id":"doi:10.1109/tase.2019.2938673","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tase.2019.2938673","pdf_url":null,"source":{"id":"https://openalex.org/S34881539","display_name":"IEEE Transactions on Automation Science and Engineering","issn_l":"1545-5955","issn":["1545-5955","1558-3783"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automation Science and Engineering","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065726008","display_name":"Wang Jia","orcid":"https://orcid.org/0000-0002-6595-8944"},"institutions":[{"id":"https://openalex.org/I9224756","display_name":"Northeastern University","ror":"https://ror.org/03awzbc87","country_code":"CN","type":"education","lineage":["https://openalex.org/I9224756"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jia Wang","raw_affiliation_strings":["School of Business Administration, Northeastern University, Shenyang, China","School of Economics, Northeastern University at Qinhuangdao, Qinhuangdao, China"],"affiliations":[{"raw_affiliation_string":"School of Business Administration, Northeastern University, Shenyang, China","institution_ids":["https://openalex.org/I9224756"]},{"raw_affiliation_string":"School of Economics, Northeastern University at Qinhuangdao, Qinhuangdao, China","institution_ids":["https://openalex.org/I9224756"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081318069","display_name":"MengChu Zhou","orcid":"https://orcid.org/0000-0002-5408-8752"},"institutions":[{"id":"https://openalex.org/I111950717","display_name":"Macau University of Science and Technology","ror":"https://ror.org/03jqs2n27","country_code":"MO","type":"education","lineage":["https://openalex.org/I111950717","https://openalex.org/I4391767947"]},{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]}],"countries":["MO","US"],"is_corresponding":false,"raw_author_name":"MengChu Zhou","raw_affiliation_strings":["Department of Electrical and Computer Engineering, New Jersey Institute of Technology, Newark, USA","Institute of Systems Engineering, Macau University of Science and Technology, Macau, China"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Computer Engineering, New Jersey Institute of Technology, Newark, USA","institution_ids":["https://openalex.org/I118118575"]},{"raw_affiliation_string":"Institute of Systems Engineering, Macau University of Science and Technology, Macau, China","institution_ids":["https://openalex.org/I111950717"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5064144631","display_name":"Xiu Jin","orcid":"https://orcid.org/0000-0002-0827-2962"},"institutions":[{"id":"https://openalex.org/I9224756","display_name":"Northeastern University","ror":"https://ror.org/03awzbc87","country_code":"CN","type":"education","lineage":["https://openalex.org/I9224756"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiu Jin","raw_affiliation_strings":["School of Business Administration, Northeastern University, Shenyang, China"],"affiliations":[{"raw_affiliation_string":"School of Business Administration, Northeastern University, Shenyang, China","institution_ids":["https://openalex.org/I9224756"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5088574552","display_name":"Xiwang Guo","orcid":"https://orcid.org/0000-0002-9142-1251"},"institutions":[{"id":"https://openalex.org/I118118575","display_name":"New Jersey Institute of Technology","ror":"https://ror.org/05e74xb87","country_code":"US","type":"education","lineage":["https://openalex.org/I118118575"]},{"id":"https://openalex.org/I166846921","display_name":"Liaoning Shihua University","ror":"https://ror.org/00k6c4h29","country_code":"CN","type":"education","lineage":["https://openalex.org/I166846921"]}],"countries":["CN","US"],"is_corresponding":false,"raw_author_name":"Xiwang Guo","raw_affiliation_strings":["College of Computer and Communication Engineering, Liaoning Shihua University, Fushun, China","Department of Electrical and Computer Engineering, New Jersey Institute of Technology, Newark, USA"],"affiliations":[{"raw_affiliation_string":"College of Computer and Communication Engineering, Liaoning Shihua University, Fushun, China","institution_ids":["https://openalex.org/I166846921"]},{"raw_affiliation_string":"Department of Electrical and Computer Engineering, New Jersey Institute of Technology, Newark, USA","institution_ids":["https://openalex.org/I118118575"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5046114805","display_name":"Liang Qi","orcid":"https://orcid.org/0000-0002-0762-5607"},"institutions":[{"id":"https://openalex.org/I80143920","display_name":"Shandong University of Science and Technology","ror":"https://ror.org/04gtjhw98","country_code":"CN","type":"education","lineage":["https://openalex.org/I80143920"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Liang Qi","raw_affiliation_strings":["Department of Computer Science and Technology, Shandong University of Science and Technology, Qingdao, China"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Technology, Shandong University of Science and Technology, Qingdao, China","institution_ids":["https://openalex.org/I80143920"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100407942","display_name":"Xu Wang","orcid":null},"institutions":[{"id":"https://openalex.org/I4210117826","display_name":"Hebei University of Environmental Engineering","ror":"https://ror.org/02bjyz323","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210117826"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xu Wang","raw_affiliation_strings":["College of Economics, Hebei University of Environmental Engineering, Qinhuangdao, China"],"affiliations":[{"raw_affiliation_string":"College of Economics, Hebei University of Environmental Engineering, Qinhuangdao, China","institution_ids":["https://openalex.org/I4210117826"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":6,"corresponding_author_ids":["https://openalex.org/A5065726008"],"corresponding_institution_ids":["https://openalex.org/I9224756"],"apc_list":null,"apc_paid":null,"fwci":3.3953,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.93539155,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":98},"biblio":{"volume":"17","issue":"2","first_page":"621","last_page":"632"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.989799976348877,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.8245495557785034},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.7575885057449341},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.6508169174194336},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6165501475334167},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.5686092972755432},{"id":"https://openalex.org/keywords/conditional-variance","display_name":"Conditional variance","score":0.5307714343070984},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4814831018447876},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.46401557326316833},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.426031231880188},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3349689841270447},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.18126395344734192},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17708691954612732}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.8245495557785034},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.7575885057449341},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6508169174194336},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6165501475334167},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5686092972755432},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.5307714343070984},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4814831018447876},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.46401557326316833},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.426031231880188},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3349689841270447},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18126395344734192},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17708691954612732},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/tase.2019.2938673","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tase.2019.2938673","pdf_url":null,"source":{"id":"https://openalex.org/S34881539","display_name":"IEEE Transactions on Automation Science and Engineering","issn_l":"1545-5955","issn":["1545-5955","1558-3783"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automation Science and Engineering","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3029941205","display_name":null,"funder_award_id":"G2019501086","funder_id":"https://openalex.org/F4320322163","funder_display_name":"Natural Science Foundation of Hebei Province"},{"id":"https://openalex.org/G4324921505","display_name":null,"funder_award_id":"L2019027","funder_id":"https://openalex.org/F4320324560","funder_display_name":"Department of Education of Liaoning Province"},{"id":"https://openalex.org/G7076271838","display_name":null,"funder_award_id":"2018M631797","funder_id":"https://openalex.org/F4320321543","funder_display_name":"China Postdoctoral Science Foundation"},{"id":"https://openalex.org/G7821142407","display_name":null,"funder_award_id":"N172304020","funder_id":"https://openalex.org/F4320335787","funder_display_name":"Fundamental Research Funds for the Central Universities"},{"id":"https://openalex.org/G8440176549","display_name":null,"funder_award_id":"71601040","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321543","display_name":"China Postdoctoral Science Foundation","ror":"https://ror.org/0426zh255"},{"id":"https://openalex.org/F4320322163","display_name":"Natural Science Foundation of Hebei Province","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320324560","display_name":"Department of Education of Liaoning Province","ror":"https://ror.org/0022v2454"},{"id":"https://openalex.org/F4320335787","display_name":"Fundamental Research Funds for the Central Universities","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1532067570","https://openalex.org/W1578703148","https://openalex.org/W1730996967","https://openalex.org/W1963574366","https://openalex.org/W1964403653","https://openalex.org/W1992970170","https://openalex.org/W1994146888","https://openalex.org/W1995897294","https://openalex.org/W1999996900","https://openalex.org/W2006465234","https://openalex.org/W2012242451","https://openalex.org/W2031123121","https://openalex.org/W2031818745","https://openalex.org/W2046782869","https://openalex.org/W2074812030","https://openalex.org/W2107624714","https://openalex.org/W2125982646","https://openalex.org/W2132499593","https://openalex.org/W2141089220","https://openalex.org/W2191474406","https://openalex.org/W2191748751","https://openalex.org/W2311847003","https://openalex.org/W2332282366","https://openalex.org/W2342863770","https://openalex.org/W2352935259","https://openalex.org/W2550272041","https://openalex.org/W2579765471","https://openalex.org/W2587598166","https://openalex.org/W2596719705","https://openalex.org/W2611209090","https://openalex.org/W2611347159","https://openalex.org/W2648358795","https://openalex.org/W2757935590","https://openalex.org/W2761595166","https://openalex.org/W2801097200","https://openalex.org/W2802502045","https://openalex.org/W2883868302","https://openalex.org/W2884975621","https://openalex.org/W2906393807","https://openalex.org/W2914137338","https://openalex.org/W2944692378","https://openalex.org/W2964270739","https://openalex.org/W3121895237","https://openalex.org/W3124254112","https://openalex.org/W3124986104","https://openalex.org/W4237712828","https://openalex.org/W4256354879","https://openalex.org/W6631822395"],"related_works":["https://openalex.org/W1608601224","https://openalex.org/W2017138702","https://openalex.org/W1978494725","https://openalex.org/W2776656900","https://openalex.org/W2945893251","https://openalex.org/W1980431701","https://openalex.org/W2031589205","https://openalex.org/W4312286080","https://openalex.org/W1501678122","https://openalex.org/W2118797768"],"abstract_inverted_index":{"Considering":[0],"time-varying":[1,128],"transition":[2,190],"probability":[3],"(TVTP),":[4],"this":[5,203],"article":[6,116,204],"combines":[7,126],"Markov":[8,129,183],"regime":[9,130,184],"switching":[10,131,185],"with":[11,66,118,132,187],"a":[12,24,30,102,119,127,144,150,188],"dynamic":[13,133],"conditional":[14,18,134,138],"correlation":[15,135],"generalized":[16,136],"autoregressive":[17,137],"heteroscedasticity":[19,139],"(DCC-GARCH)":[20],"model":[21,27,46,87,104,147,167],"to":[22,43,90,114,142,211],"construct":[23,143],"new":[25,145],"hedging":[26,34,62,83,111,123,146,152,159,176,197,215],"and":[28,148,173,199,220],"study":[29],"state-dependent":[31,120,151],"minimum":[32,121],"variance":[33,122],"ratio.":[35,153],"A":[36,48],"two-stage":[37],"maximum":[38],"likelihood":[39],"method":[40],"is":[41,51,88,205],"constructed":[42],"estimate":[44],"the":[45,70,74,85,108,165,214,222],"parameters.":[47],"filtering":[49],"algorithm":[50],"used":[52],"in":[53,80,93],"an":[54],"estimation":[55],"process.":[56],"Empirical":[57,154],"results":[58,155],"on":[59],"commodity":[60,157],"futures":[61,158,218],"show":[63,160],"that":[64,98,161],"compared":[65],"other":[67,91,179],"benchmark":[68],"models,":[69,181],"proposed":[71,86],"one":[72],"has":[73],"best":[75],"fitting":[76],"effect.":[77],"In":[78],"addition,":[79],"terms":[81],"of":[82,110,206,217],"effectiveness,":[84],"superior":[89],"models":[92],"most":[94],"cases,":[95],"which":[96],"means":[97],"introducing":[99,162],"TVTP":[100,163],"into":[101,164],"DCC-GARCH":[103,141,166,186],"can":[105,168],"effectively":[106,169],"improve":[107],"performance":[109,177],"portfolio.":[112],"Note":[113],"Practitioners-This":[115],"deals":[117],"problem.":[124],"It":[125],"named":[140],"estimates":[149],"from":[156],"reduce":[170],"portfolio":[171],"risk":[172],"provide":[174],"better":[175],"than":[178],"traditional":[180],"including":[182],"fixed":[189],"probability,":[191],"DCC-GARCH,":[192],"ordinary":[193],"least":[194],"squares,":[195],"na\u00efve":[196],"strategies,":[198],"unhedged":[200],"spots.":[201],"Thus,":[202],"guiding":[207],"significance":[208],"for":[209],"hedgers":[210],"fully":[212],"learn":[213],"rules":[216],"market":[219],"avoid":[221],"spots":[223],"price":[224],"risk.":[225]},"counts_by_year":[{"year":2024,"cited_by_count":4},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
