關聯函數與避險策略之探討

An Investigation of the Hedging Strategies and Copula Function

魏杏安(Hsing-An Wei)

指導教授 ： 李命志

共同指導教授 ： 李彥賢(Yen-Hsien Lee)

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.01128

摘要

本篇摘要未授權

關鍵字

期貨避險 ； 最小變異避險比率 ； Copula函數

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

futures hedging ； MVHR ； Copula function

參考文獻

6. 廖四郎、李福慶，(2005)，「擔保債權憑證之評價-Copula分析法」，台灣金融財務季刊，第六輯第二期，頁53~84。

1. Anderson, R. W., and Danthine, J. P., (1981), “Cross hedging,” Journal of Political Economy, Vol. 89, pp. 1182-1196.

2. Benet, B. A., (1992), “Hedge period length and ex-ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges.” Journal of Futures Markets, Vol. 43, No. 1, pp. 163-175.

3. Bollerslev, T., (1986), “Generalized autoregressive conditional heteroscedasticity,” Journal of Econometrics, Vol. 31, pp. 307-327.

4. Bollerslev, T., Engle, R. F., and Wooldridge, J. M., (1988), “A capital asset pricing model with time-varying covariances,” Journal of Political Economy, Vol. 96, pp. 116-131.