Hedging With Stock Index Futures: Considering Dynamic Conditional Correlations, Asymmetric Effects of the Basis and Volatility
碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 98 === This paper investigates effects of the basis on the return and risk structure of stock index spot and futures, and uses optimal hedge ratios with no basis, symmetric effects, and asymmetric effects of the basis for estimating futures hedging performances. Be...
| 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/19251943568018126279 |