APPLIES VOLATILITY SPILLOVER AND MRS-DCC-GARCH MODEL TO INVESTIGATE THE OPTIMAL HEDGE RATIO OF HONG KONG STOCK INDEX AND RELATED FUTURES MARKET
碩士 === 銘傳大學 === 經濟學系碩士班 === 96 === This thesis applies MRS-DCC-GARCH (Markov Regime Switching -Dynamic Conditional Correlation -Generalized Autoregressive Conditional Heteroskedasticity) Model, and VS-DCC-GARCH (Volatility Spillover -Dynamic Conditional Correlation -Generalized Autoregressive Condit...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97490560429694655792 |