Can the Volatility Behavior, Basis and Conditional Distribution Improve the Hedging Effectiveness of Stock Index Futures?
碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === This study mainly discusses the asymmetric volatility, basis and conditional fat-tail or skewed distribution can improve the hedging effectiveness of stock index futures. The subjects involve S&P 500, FTSE 100, DAX 30, Nikkei 225, Hang Seng, TAIFEX and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18138561137125177310 |