On the Optimal Hedge Ratio Between Stock and Future—Application of Copula Functions
碩士 === 輔仁大學 === 金融研究所 === 97 === Abstract This thesis uses the stock and future market data of Taiwan, Japan, Hong Kong, and Korea to analysis hedging performance. This thesis uses constant correlation and dynamic correlation to estimate hedge ratio and want to know which have better hedge effective...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34775675289631041389 |