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題名:應用Copula-GJR-GARCH模型於黃金與白銀期貨之避險
書刊名:臺灣期貨與衍生性商品學刊
作者:李沃牆 引用關係李莠苓
作者(外文):Lee, Wo-chiangLee, You-ling
出版日期:2011
卷期:12
頁次:頁28-65
主題關鍵詞:Copula函數最小變異數避險理論避險績效Copula functionGJR-GARCHMinimum variance hedge ratioPerformance of hedge
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(3) 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:0
  • 共同引用共同引用:10
  • 點閱點閱:64
期刊論文
1.巫春洲、劉炳麟、楊奕農(20090600)。農產品期貨動態避險策略的評價。農業與經濟,42,39-62。new window  延伸查詢new window
2.Sklar, M.(1959)。Fonctions de ŕepartition à n dimensions et leurs marges。Publ. Inst. Statist. Univ. Paris,8,229-231。  new window
3.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
4.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
5.Hsu, C. C.、Tseng, C. P.、Wang, Y. H.(2008)。Dynamic Hedging with Futures: a Copula- based GARCH Model。Journal of Futures Markets,28(11),1095-1116。  new window
6.Witt, H. J.、Schroeder, T. C.、Hayenga, M. L.(1987)。Comparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities。Journal of Futures Markets,7(2),135-146。  new window
7.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
8.Kenourgios, D.、Samitas, A.、Dorsos, P.(2008)。Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract。International Journal of Risk Assessment and Management,9(1/2),121-134。  new window
9.Lien, D.、Tse, Y. K.、Tsui, A. K. C.(2002)。Evaluating the hedging performance of the constant-correlation GARCH model。Applied Financial Economics,12(11),791-798。  new window
10.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
11.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
12.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
13.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
14.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
15.邱建良、魏志良、吳佩珊、邱哲修(20040600)。TAIFEX與MSCI臺股指數期貨與現貨直接避險策略之研究。商管科技季刊,5(2),169-184。new window  延伸查詢new window
16.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
17.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
18.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
19.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
20.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review,35(3),705-730。  new window
21.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
22.何其祥、張晗、鄭明(2009)。包含股指期貨的投資組合之風險研究--copula方法在金融風險管理中的應用。數理統計與管理(中國),28(1),159-166。  延伸查詢new window
23.林俊良、劉子康(2009)。自由度具解析解之動態t-copula在商品期貨風險管理的應用。臺灣期貨與衍生性商品學刊,9,1-30。new window  延伸查詢new window
24.Choudhry, T.(2004)。Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures。International Review of Economics and Finance,13,371-385。  new window
25.Lee, W. C.、Lin, H. N.(2010)。The Dynamic Relationship between Gold and Silver Futures Markets based on Copula-AR-GJR-GARCH Model。Middle Eastern of Finance and Economics,7,118-129。  new window
26.Lien, D.、Yang, L.(2006)。Spot-futures Spread, Time -varying Correlation, Hedging with Currency Futures。Journal of Futures Markets,26,1019-1038。  new window
27.Patton, A. J.(2006)。On Default Correlation: A Copula Function Approach。International Economic Review,47,527-556。  new window
學位論文
1.徐偉書(2009)。動態避險下基差與負面衝擊的不對稱效果(碩士論文)。淡江大學。  延伸查詢new window
2.劉冠忠(2007)。國際黃金指數、黃金期貨與總體經濟動態關聯性之研究-狀態空間模型之應用(碩士論文)。開南大學。  延伸查詢new window
3.李亦屏(2004)。黃金期貨之避險分析。中原大學。  延伸查詢new window
圖書
1.楊奕農(2009)。時間序列分析--經濟與財務上之應用。臺北:雙葉書廊有限公司。  延伸查詢new window
2.Joe, H.(1997)。Multivariate Motels and Dependence Concepts。London。  new window
其他
1.Baba, R..F.,Engle, D.,Karft, F.,Kroner, K. F.(1991)。Multivarate Simultaneous Generalized ARCH。  new window
 
 
 
 
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