MRS-DCC-GARCH MODELS FOR ESTIMATING THE HEDGE-PERFORMANCE, TAKE AN EXAMPLE FOR TATWAN AND JAPAN STOCK INDICES.
碩士 === 銘傳大學 === 經濟學系碩士班 === 96 === Abstract Stock market of the country is the module of economy, and the stock price indicts usually means one country’s economic status. In this paper we describe an approach for determining time-varying minimum variance hedge ratio in stock index futures market...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55745192540753239583 |