The Optimal Hedging Strategy on the Control of Purchasing Risk
碩士 === 國防大學管理學院 === 財務管理學系 === 98 === This paper discusses the foreign exchange hedging strategies by considering the hedging performance among currency futures and US Dollar Index (USDX) futures. We adopt OLS, ECM, DCC-GARCH and ICSS-GARCH models to obtain optimal hedge ratios and to measure out-of...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61825806385284720399 |