A Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect for energy futures hedge

碩士 === 國立暨南國際大學 === 財務金融學系 === 97 === This article applies a Markov regime- switching time-varying correlation GARCH model with asymmetric basis effect (RS-VC-Basis-GARCH) for energy futures hedging. This model nests within it the Markov regime switching time-varying correlation GARCH (RS-VC- GARCH)...

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Bibliographic Details
Main Authors: Chih-Wei Peng, 彭智煒
Other Authors: Hsiang-Tai Lee
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/36607569833657527028