A Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect for energy futures hedge
碩士 === 國立暨南國際大學 === 財務金融學系 === 97 === This article applies a Markov regime- switching time-varying correlation GARCH model with asymmetric basis effect (RS-VC-Basis-GARCH) for energy futures hedging. This model nests within it the Markov regime switching time-varying correlation GARCH (RS-VC- GARCH)...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/36607569833657527028 |