Optimal Hedge Ratios Estimate :Comparison Among Alternative EWMA Method
碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === This study applies the restricted least squares estimator(RLS),the absolute restricted least squares estimator(A-RLS), and Bias-Corrected EWMA model to estimate optimal hedge ratios for stock index futures. Using for stock index futures ,we compare the optim...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65532171318311960987 |