Optimal Hedge Ratio of Commodity Futures Using Bivariate DCC-CARR and DCC-GARCH Models
碩士 === 國立中央大學 === 財務金融研究所 === 93 === When traders participate in both cash and futures markets they must choose a hedging strategy that reflects their individual goals and attitudes towards risk. At the same time, optimal portfolio management depends not only on the fundamental and technological ana...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/83027752092707981578 |