The Application of Forecasting Models on Hedging Strategies of Foreign Currency Futures - Comparision of ARIMA, VARMA & State Space Models
碩士 === 銘傳管理學院 === 金融研究所 === 84 === This article compared prediction performance of ARIMA model, VARMA model and s tate space model and hedging payoff between the modified selective hedging str ategy with forecasting models and two hedging strategies without forecasting...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1996
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70622423124736413509 |