The Investigation in Time Varying Hedging Ratio of Stock Index Futures: Global Markets Evidence
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 102 === This article adopts bivariate ADCC-TGARCH model to explore the time-varying hedge ratio for global stock markets, and investigate whether the hedge ratio is affected by financial crisis. In the study, Internet bubble, the subprime crisis and the European d...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2014
|
Online Access: | http://ndltd.ncl.edu.tw/handle/30480048427039502137 |