最適避險比率與波動異質性之研究

The Effect of Heteroskedastic Volatility on Optional Hedge Ratios

楊怡婷(Yi-Ting Yang)

指導教授 ： 萬哲鈺

淡江大學/商學院/經濟學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00926

摘要

本篇摘要未授權

關鍵字

多變量GARCH ； 最適避險比率 ； 期貨

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

multivariate GARCH ； Hedge ratio ； Futures

參考文獻

1 Chris Brooks,Olan T Henry,Gita Persand,2002,The effect of Asymmetries on Optimal Hedge Ratios,The Journal of Business,75(2):333-352

2 Donald Lien,Y.K.Tse.,2002,Some Recent Developments in Futures Hedging,Journal of Economic Surveys,16(3):357-396

3 Ederington,L.H.,1979.The Hedging Performance of the New Futures Markets,Juurnal of Finance,34(1):157-170

4 Myers,R.J.,1991.Estimating Time-varying Optimal Hedge Ratios on Futures Markets,Journal of Futures Markets,11(1):39-53

5 Park,T.H.and L.H.Switzer,1995.Time-varying Distributions and the Optimal Hedge Ratios for Stock Index Futures,Applied Financial Economics,5(3):131-137