Time-Varying Estimation of Return Volatility and Futures Hedging: Evidence from the Finance Sector Index Futures and Single Stock Futures
碩士 === 國立高雄科技大學 === 金融系 === 107 === This thesis uses the TWIFEX (Taiwan Futures Exchange) finance sector index futures and single stock futures to compare the hedge performance of the naïve hedge, the ordinary least square (OLS), 「the equally weighted moving average (MA), the exponentially weighted...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/38nk8s |