The Study of the Maturity Effect on the Futures Hedging Performance: The Application of Long Memory and Smooth Transition Model
碩士 === 東海大學 === 財務金融學系 === 97 === This paper applies smooth transition regressive model to describe time-varing basis convergence rate based on the bivariate GJR-GARCH and bivariate FI-GJR-GARCH model with maturity effect, and exams the maturity effect and long memory of volatility in the stock inde...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22985855024813981479 |