An Application of COPULA-GARCH-Based Model to the Hedging Effectiveness of Foreign Exchange Hedging Portfolio
碩士 === 淡江大學 === 管理科學學系碩士班 === 106 === In the recent years, the global economic environment has rapidly changed. To avoid the huge exchange loss, it is critical for investors and investment institutions to build a hedging portfolio. We adopts window-rolling framework from February 2, 1987 and March 2...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/3d389s |