Testing for Constant Hedge Ratios in Futures Markets:A Multivariate GARCH Approach
碩士 === 南華大學 === 經濟學研究所 === 94 === Allowing for a more flexible BEKK form of time-varying volatility and with the day-of-the-week effect embedded in the variance-covariance matrix, the study follows a bivariate GARCH parameterization from Moschini and Myers (2002) to test the hypotheses that the op...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46900172873032679154 |