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...
Main Authors: | Nash Chen, 陳昱宏 |
---|---|
Other Authors: | Gang Shyy |
Format: | Others |
Language: | en_US |
Published: |
2005
|
Online Access: | http://ndltd.ncl.edu.tw/handle/83027752092707981578 |
Similar Items
-
Estimation and Comparison of five metal commodities futures with DCC-GARCH and DCC-CARR
by: Chen-Yuan Chang-Chien, et al.
Published: (2012) -
Reevaluate the DCC-GARCH and DCC-CARR model hedging performance
by: Wei-Chih Huang, et al.
Published: (2010) -
Performance Comparison in Hedging with DCC and Copula Modelsfor Commodity Futures
by: Yu-Kai Huang, et al.
Published: (2010) -
The Study of Hedge Ratios and Hedging Performance of Stock Spot/Stock Index Futures in Taiwan–The Applications of OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH Models
by: Wu-Yen Chang, et al.
Published: (2012) -
Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
by: Chih-Pei Wu, et al.
Published: (2013)