Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === In this paper , we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study . The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period wa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/86112822973360507755 |