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DOI stands for Digital Object Identifier ( D igital O bject I dentifier ) ,
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Using DOI as a persistent link

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The Hedging Analysis of Gold Futures

李亦屏 , Masters  Advisor:胡為善;劉立倫  


OLSGARCHEGARCH單根檢定避險理論黃金期貨unit root testGARCHEGARCHOLSgold futureshedging

Abstract 〈TOP〉
Parallel Abstract 〈TOP〉
Reference ( 81 ) 〈TOP〉
  1. 周志隆,1991 股票風險波動之研究—異質條件變異數分析法,台灣大學商學研究所碩士論文。
  2. 康信鴻、繆俊華 1998外匯期貨最適避險比例之實証研究,管理學報,第15卷第3期,pp.419-513。
  3. Anderson, R. W. and J. P. Danthine, 1981, “Cross Hedging”, Journal of Political Economy, 89(6): 1182-1196.
  4. Benet, B. A., 1992, “Hedging Period Length and Ex-Ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges”, Journal of Futures Markets,12:163-175.
  5. Bollerslev, T., 1986,”Generalized Autoregressive Conditional Heteroscedasiticity”, Journal of Econometrics,31:307-327.
Times Cited (13) 〈TOP〉
  1. 周郁翔(2015)。人民幣匯改前後避險績效評估。淡江大學財務金融學系碩士班學位論文。2015。1-52。 
  2. 許綵羚(2015)。應用多變量的動態變幅波動模型於兩岸三地期貨避險。淡江大學財務金融學系碩士班學位論文。2015。1-88。 
  3. 柯星妤(2013)。金磚五國之期貨避險績效─應用Copula-based GJR-GARCH模型。淡江大學財務金融學系碩士班學位論文。2013。1-65。 
  4. 陳甄燕(2012)。以ARJI模型重新檢視最適避險策略。淡江大學財務金融學系碩士在職專班學位論文。2012。1-61。 
  5. 李玟儀(2010)。黃金現貨與美元指數相關性之研究。淡江大學財務金融學系碩士在職專班學位論文。2010。1-82。 
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