The Research of The Optimal Hedge Ratios and Hedge Performarce For Domestic Short Term Interest Rate Futures
碩士 === 亞洲大學 === 經營管理研究所 === 94 === The purpose of this research is to estimate optimal hedge ratio and compare hedge performance by using Naive model , OLS model and VECM model . The data include Taiwan 30-Day Commercial Paper Futures and Taiwan 10-Day , 90-Day , 180-Day Commercial Paper . The major...
| 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/66075353608070985555 |