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題名:西德州與布蘭特原油避險策略
書刊名:真理財經學報
作者:劉洪鈞黃聖志王怡文
作者(外文):Liu, Hung-chunHuang, Sheng-shihWang, Yi-wen
出版日期:2008
卷期:18
頁次:頁71-98
主題關鍵詞:原油期貨厚尾移動視窗避險績效GARCHCrude oil futuresHeavy tailsRolling windowHedge performance
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:13
  • 點閱點閱:31
期刊論文
1.林筠、傅鍾仁(19930400)。我國進口油價風險管理之研究--原油期貨交叉避險。證券市場發展,18,42-56。new window  延伸查詢new window
2.邱哲修、林卓民、洪瑞成、徐明傑(2005)。價格不連續下的最適避險策略--ARJI模型之應用。計量管理期刊,1(2),189-206。  延伸查詢new window
3.高峰、洪瑞成、姜世杰、李命志(20050600)。價格跳躍下的最適避險策略--日經225指數現貨與期貨。華岡經濟論叢,4(2),65-90。  延伸查詢new window
4.Benet, B. A.(1992)。Hedge Period Length and Ex-ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges。Journal of Futures Markets,12(2),163-175。  new window
5.Chan、Young(2006)。Jumping Hedges: An Examination of Movements in Copper Spot and Futures Market。Journal of Futures Markets,26(2),169-188。  new window
6.Chiu(2005)。Hedging with Floor-Traded and E-mini Stock Index Futures。Quarterly Journal of Business and Economics,44(3/4),49-68。  new window
7.Gagnon, L.、Lypny, G.(1997)。The benefits of dynamically hedging the Toronto 35 stock index。Canadian Journal of Administrative Sciences,14(1),69-78。  new window
8.Jones, Charles M.、Kaul, Gautam(1996)。Oil and the Stock Markets。Journal of Finance,51(2),463-491。  new window
9.李命志、邱哲修、黃景明、陳君達(20030900)。臺灣股價指數期貨最適避險策略之研究。企業管理學報,58,85-104。new window  延伸查詢new window
10.Bates, D. S.(1991)。The Crash of '87: Was it Expected? The Evidence from the Options Markets。The Journal of Finance,46(3),1009-1044。  new window
11.Fortune, P.(1999)。Are stock returns different over weekends?A jump diffusion analysis of the weekend effect。New England Economic Review,September/October,3-19。  new window
12.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
13.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
14.Lindahl, M.(1992)。Minimum Variance Hedge Ratios for Stock Index Futures: Duration and Expiration Effects。The Journal of Futures Markets,12(1),33-53。  new window
15.Ederington, L. H.(1979)。The Hedging Performance of the New Future Markets。The Journal of Finance,34(1),157-170。  new window
16.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
17.Park, T. H.、Switzer, L. N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Future: A Note。Journal of Futures Markets,15,61-67。  new window
18.Lien, D. H. D.、Tse, Y. K.(1999)。Fractional Cointegration and Futures Hedging。Journal of Futures Markets,19(4),457-474。  new window
19.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
20.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
21.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
22.余尚武、賴昌作(20010100)。股價指數期貨之避險比率與避險效益。管理研究學報,1(1),1-31。new window  延伸查詢new window
23.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
24.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
25.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
26.Koutmos, G.、Pericli, A.(1999)。Hedging GNMA Mortgage-Backed Securities with T-Note Futures: Dynamic versus Static Hedging。Real Estate Economics,27(2),335-363。  new window
27.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
28.Politis, Dimitris N.(2004)。A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction。Annals of Economics and Finance,5(2),283-298。  new window
29.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
30.Fong, W. M.、See, K. H.(2002)。A markov switching model of the conditional volatility of crude oil futures prices。Energy Economics,24,71-95。  new window
研究報告
1.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。  new window
 
 
 
 
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