A Study of Futures Hedge Ratios Estimation－Asymmetric Volatility and Dynamic Correlation
碩士 === 國立高雄第一科技大學 === 財務管理所 === 92 === This paper explores asymmetric effect of stock market volatility on futures hedging performance. In addition, this study compares hedging performance of the constant and dynamic correlation models. This paper adopts HEV, MG, HEHKL and LPM as criteria to compar...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20617202201861425393 |