Application of Dynamic Hedging in Stock Index Futures
碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper will refer to Engle’s dynamic correlation coefficient (DCC) model, basing on the minimum-variance hedging theory to investigate the direct hedging of spot and future in London FTSE-100 and Japan Nikkei225.It then applies the dynamic correlation coeff...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59868781384740552568 |