Futures Optimal Hedge Ratio and Transaction Cost
碩士 === 國立交通大學 === 經營管理研究所 === 107 === This paper uses three smoothing strategies, moving average (MA), exponential smoothing (EWMA), and Hodrick-Prescott Filter (HP-Filter), to curb the transaction cost while hedging with dynamic models, such as CCC and DCC-GARCH models. In order to look for the rel...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2019
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Online Access: | http://ndltd.ncl.edu.tw/handle/tg948v |