The Empirical Study on Portfolio Hedge of Banks by Multivariate GARCH Models
碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === The dynamic portfolio hedging effectiveness of Taiwan banks with exposure to both interest rate and foreign exchange risks is examined in this paper. Therefore, the paper investigates Bank of Taiwan, the bank which has the largest asset in Taiwan. Because there...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31482104193152972290 |