Futures Hedging with a Copula-based Multivariate GARCH Model
碩士 === 國立中央大學 === 財務金融研究所 === 94 === Many recent studies have demonstrated that using the constant hedge ratio obtained by the ordinary least squares method is inappropriate and hence different dynamic hedging strategies are suggested. In this paper we propose a new copula-based GARCH model to esti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56402620940566922870 |