The Evaluation of the Short ETFs
碩士 === 國立交通大學 === 經營管理研究所 === 96 === Based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) of Bollerslev (1986) and the Dynamic Conditional Correlation (DCC) Model of Engle (2002), we investigate the tracking errors and the hedging effectiveness of each short ETF. We find th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/qmby7t |