The empirical study in the hedging effectiveness of T-bond futures
碩士 === 淡江大學 === 財務金融學系 === 86 === The goal of this study is to discuss the hedging effectiveness of the T-bond futures under several hedging models. These models are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week, Bivariate GARCH-Season.The data i...
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1998
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22661284233362193192 |
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ndltd-TW-086TKU013040022015-10-13T17:34:45Z http://ndltd.ncl.edu.tw/handle/22661284233362193192 The empirical study in the hedging effectiveness of T-bond futures 美國公債期貨的避險效果之實證研究 Chou, Michael 周立中 碩士 淡江大學 財務金融學系 86 The goal of this study is to discuss the hedging effectiveness of the T-bond futures under several hedging models. These models are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week, Bivariate GARCH-Season.The data is daily and weekly from 1990 to 1996.The hedging effectiveness is divided into in-sample and out-sample. The in-sample one is from 1990 to 1995. The out- sample one is on 1996. The hedging period of weekly data is divided into one week, two weeks, and four weeks. Lin 林蒼祥 1998 學位論文 ; thesis 81 zh-TW |
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NDLTD |
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zh-TW |
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Others
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碩士 === 淡江大學 === 財務金融學系 === 86 === The goal of this study is to discuss the hedging effectiveness
of the T-bond futures under several hedging models. These models
are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week,
Bivariate GARCH-Season.The data is daily and weekly from 1990 to
1996.The hedging effectiveness is divided into in-sample and
out-sample. The in-sample one is from 1990 to 1995. The out-
sample one is on 1996. The hedging period of weekly data is
divided into one week, two weeks, and four weeks.
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| author2 |
Lin |
| author_facet |
Lin Chou, Michael 周立中 |
| author |
Chou, Michael 周立中 |
| spellingShingle |
Chou, Michael 周立中 The empirical study in the hedging effectiveness of T-bond futures |
| author_sort |
Chou, Michael |
| title |
The empirical study in the hedging effectiveness of T-bond futures |
| title_short |
The empirical study in the hedging effectiveness of T-bond futures |
| title_full |
The empirical study in the hedging effectiveness of T-bond futures |
| title_fullStr |
The empirical study in the hedging effectiveness of T-bond futures |
| title_full_unstemmed |
The empirical study in the hedging effectiveness of T-bond futures |
| title_sort |
empirical study in the hedging effectiveness of t-bond futures |
| publishDate |
1998 |
| url |
http://ndltd.ncl.edu.tw/handle/22661284233362193192 |
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