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題名:The Futures Hedging Performance of Taiwan Top 50 ETF
書刊名:期貨與選擇權學刊
作者:劉炳麟賴雨聖 引用關係
作者(外文):Liu, NathanLai, Yu-sheng
出版日期:2016
卷期:9:2
頁次:頁1-31
主題關鍵詞:臺灣50 ETF期貨避險最小變異避險比率次貸危機一般化正交GARCH模型Taiwan Top 50 ETFFutures hedgeMinimum-variance hedge ratioSubprime mortgage crisisGO-GARCH
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(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:10
期刊論文
1.Wang, C.、Low, S. S.(2003)。Hedging with Foreign Currency Denominated Stock Index Futures: Evidence from the MSCI Taiwan Index Futures Market。Journal of Multinational Financial Management,13(1),1-17。  new window
2.Bauwens, L.、Laurent, S.、Rombouts, J. V. K.(2006)。Multivariate GARCH Models: A Survey。Journal of Applied Econometrics,21(1),79-109。  new window
3.Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。  new window
4.Alexander, C.、Barbosa, A.(2008)。Hedging index exchanged traded funds。Journal of Banking & Finance,32,326-337。  new window
5.Carchano, O.、Pardo, A.(2009)。Rolling over stock index futures contracts。Journal of Futures Markets,29,684-694。  new window
6.Lai, Y. S.、Sheu, H. J.(2011)。On the importance of asymmetries for dynamic hedging during the subprime crisis。Applied Financial Economics,21(11),801-813。  new window
7.Noureldin, D.、Shephard, N.、Sheppard, K.(2014)。Multivariate rotated ARCH models。Journal of Econometrics,179(1),16-30。  new window
8.Park, T. H.、Switzer, L. N.(1995)。Bivariate GARCH estimation of the optimal hedge ratios for stock index futures。Journal of Futures Markets,15(1),61-67。  new window
9.Sheu, H. J.、Lai, Y. S.(2014)。Incremental value of a futures hedge using realized ranges。Journal of Futures Markets,34(7),676-689。  new window
10.van der Weide, R.(2002)。GO-GARCH: a multivariate generalized orthogonal GARCH model。Journal of Applied Econometrics,17(5),549-564。  new window
11.Wu, C. C.、Liu, N.、Yang, Y. N.(2009)。Evaluating the performance of dynamic hedging strategies in commodity futures markets。Agriculture and Economics,42,39-62。  new window
12.Brooks, C.、Henry, O. T.、Persand, G.(2002)。The effect of asymmetries on optimal hedge ratios。Journal of Business,75(2),333-352。  new window
13.Engle, R. F.(2002)。Dynamic conditional correlation: a simple class of multivariate GARCH models。Journal of Business and Economic Statistics,20(3),339-350。  new window
14.Lien, D.、Yang, L.(2006)。Spot-futures spread, time-varying correlation, and hedging with currency futures。Journal of Futures Markets,26(10),1019-1038。  new window
15.Byström, H. N. E.(2003)。The hedging performance of electricity futures on the Nordic power exchange。Applied Economics,35(1),1-11。  new window
16.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
17.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
18.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
19.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。  new window
 
 
 
 
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