Hedging Effectiveness of Crude Oil Hedging Portfolio：Application of GARCH-EVT-Copula Model
碩士 === 淡江大學 === 管理科學學系碩士班 === 106 === The global market has a large demand of energy. Crude oil is one of important resources in economic activities. Because crude oil returns exists volatility clustering, fat-tail and dependence structure changes of tail behavior from extreme events, hedging plays...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6j22j6 |