Hedging Effectiveness under Maturity Effect and GARCH Modeling
碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === This study follows a bivariate NGARCH model with maturity effect, which Chen, Duan and Hung (1999) propose to describe the joint dynamics of the spot index and the futures-spot basis, and also apply this model to futures hedging. The S&P 500 index and its fut...
| 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/18565987938496968265 |