Applying Copula-GJR-GARCH Model in the Hedging of Gold Futures and Silver Futures
碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === Financial asset returns are usually fat-tailed and non-Gaussian. In the past, most of the literatures have the normal distribution assumption. The Copula functions that based on the relationship between the individual assets have more flexible than the other mode...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71924978901941968485 |