:::

詳目顯示

回上一頁
題名:臺灣股價指數期貨最適避險策略之研究
書刊名:企業管理學報
作者:李命志邱哲修 引用關係黃景明陳君達
作者(外文):Lee, Ming-chihChiou, Jer-shiouHuang, Jing-mingChen, Chun-da
出版日期:2003
卷期:58
頁次:頁85-104
主題關鍵詞:期貨避險FuturesHedgeGARCHVaRLPMMV
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:14
期刊論文
1.Jong, A. D.、Roon, F. D.、Veld, C.(1997)。Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies。Journal of Futures Markets,17,817-837。  new window
2.Lien, D.、Tse, Y. K.(2000)。Hedging Downside Risk with Futures Contracts。Applied Financial Economics,10(2),163-170。  new window
3.Hunter, W. C.、Timme, S. G.(1992)。A Stochastic Dominance Approach to Evaluation Foreign Exchange Hedging Strategies。Financial Management,21(3),104-112。  new window
4.辛敬文、Kuo, Jerry、李正福(1994)。A New Measure to Compare the Hedging Effectiveness of Foreign Currency Futures versus Options。The Journal of Futures Markets,14(6),685-707。  new window
5.Yeh, Sally C.、Gannon, Gerard L.(2000)。Comparing Trading Performance of the Constant and Dynamic Hedge Models: A Note。Review of Quantitative Finance and Accounting,14(2),155-160。  new window
6.Mahmoud, W.、Cohn, R.、Malek, L.(1994)。The Gold-Silver Spread: Integration, Cointegration, Predictability, and ex-ante Arbitrage。Journal of Futures Markets,14(6),709-56。  new window
7.Chen, S. S.、Lee, C. F.、Shrestha, K.(2001)。On a Mean-Generalized Semivariance Approach to Determining the Hedge Ratio。Journal of Futures Markets,21(6),581-598。  new window
8.Gagnon, L.、Lypny, G.(1997)。The Binefits of Dynamically Hedging the Toronto 35 Stock Index。Canadian Journal of Administrative Sciences,14(1),69-78。  new window
9.Eftekhari, B.(1998)。Lower Partial Moment Hedge Ratios。Applied Financial Economics,8(6),645-652。  new window
10.Johansson, F.、Seiler, M.、Tjarnberg, M.(1999)。Measuring Downside Portfolio Risk。Journal of Portfolio Management,26,96-107。  new window
11.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review,55(2),163-172。  new window
12.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis,19(1),101-112。  new window
13.Lien, D.、Tse, Y. K.(1998)。Hedging Time-varying Downside Risk。Journal of Futures Markets,18(6),705-722。  new window
14.Park, Tae H.、Switzer, Lorne N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note。Journal of Futures Markets,15(1),61-67。  new window
15.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
16.Cecchetti, Stephen G.、Cumby, Robert E.、Figlewski, Stephen(1988)。Estimation of the Optimal Futures Hedge。The Review of Economics and Statistics,70(4),623-630。  new window
17.Lien, D. H. D.、Tse, Y. K.(1999)。Fractional Cointegration and Futures Hedging。Journal of Futures Markets,19(4),457-474。  new window
18.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
19.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica,32(1/2),122-136。  new window
20.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
21.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
22.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
23.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
24.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
25.Myers, R. J.(1991)。Estimating Time-Varying Optimal Hedge Ratios on Futures Markets。Journal of Futures Markets,11(1),39-53。  new window
26.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE