A Study of Dynamic and Static Hedging Performance in Stock Index Futures
碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === Abstract Under the framework of minimum-variance hedging theory, this study carries out the direct hedging between spot and futures by using the data in ME-S&P CANADA60 INDEX and CME-S&P500 INDEX. After estimating the hedging ratios of dynamic (containi...
| 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/19537392985785908086 |