Optimal Dynamic Hedging Strategy of Energy Futures Markets: Application of Asymmetric Multivariate Models
碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === This study proposes employing various asymmetric multivariate models to formulate optimal dynamic hedging strategy. To construct optimal dynamical hedging ratio, two types of the asymmetric models, namely the conditional correlation model and the Copula-GARCH mod...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4qw4zp |