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題名:金磚五國之期貨避險績效--動態Copula-GJR-GARCH模型應用
書刊名:期貨與選擇權學刊
作者:李沃牆 引用關係柯星妤
作者(外文):Lee, Wo-chiangKe, Hsing-yu
出版日期:2014
卷期:7:1
頁次:頁1-36
主題關鍵詞:避險績效金磚五國GJR-GARCH模型CopulaHedging performanceBRICSGJR-GARCH model
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:1
  • 共同引用共同引用:12
  • 點閱點閱:37
期刊論文
1.李沃牆、李莠苓(20110600)。應用Copula-GJR-GARCH模型於黃金與白銀期貨之避險。臺灣期貨與衍生性商品學刊,12,28-65。new window  延伸查詢new window
2.邱哲修、林卓民、洪瑞成、柯月華(20051200)。價格跳躍與避險策略之探討--以道瓊工業指數現貨與期貨為例。經營管理論叢,1(2),93-116。new window  延伸查詢new window
3.Chan, W. H.(2010)。Optimal hedge ratios in the presence of common jumps。The Journal of Futures Markets,30(8),801-807。  new window
4.Chang, K. L.(2012)。The time-varying and asymmetric dependence between crude oil spot and futures markets: evidence from the mixture copula-based ARJI-GARCH model。Economic Modeling,29,2298-2309。  new window
5.Hung, J. C.、Wang, Y. H.、Chang, M. C.、Shih, K. H.、Kao, H. H.(2011)。Minimum variance hedging with bivariate regime-switching model for WTI crude oil。Energy,36,3050-3057。  new window
6.Lee, H. T.(2009)。A copula-based regime-switching GARCH model for optimal futures hedging。Journal of Futures Markets,29(10),946-972。  new window
7.Salvador, E.、Arago, V.(201404)。Measuring hedging effectiveness of index futures contracts. Do dynamic models outperform static models? A regime-switching approach。Journal of Futures Markets,34(4),374-398。  new window
8.Wei, Y.、Wang, Y.、Huang, D.(2011)。A copula-multifractal volatility hedging model for CSI 300 index futures。Physica A: Statistical Mechanics and its Applications,390,4260-4272。  new window
9.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
10.Sklar, M.(1959)。Fonctions de ŕepartition à n dimensions et leurs marges。Publ. Inst. Statist. Univ. Paris,8,229-231。  new window
11.Chow, Gregory C.(1960)。Test of Equality between Sets of Coefficients in Two Linear Regressions。Econometrica,28(3),591-605。  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.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
14.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
15.Patton, A. J.(2006)。Modelling Asymmetric Exchange Rate Dependence。International Economic Review,47,527-556。  new window
16.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
17.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
18.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
19.Li, David X.(2000)。On Default Correlation: A Copula Function Approach。Journal of Fixed Income,9(4),43-54。  new window
20.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
21.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
22.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
23.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
24.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
25.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
26.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
27.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
28.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review,35(3),705-730。  new window
29.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
30.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
31.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
32.Lai, Yi-Hao(2009)。Copula-based dynamic hedging strategies in stock index futures: International evidence。Review of Futures Markets,18,7-26。  new window
學位論文
1.李亦屏(2005)。黃金期貨之避險分析(碩士論文)。中原大學。  延伸查詢new window
2.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
3.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
圖書
1.Joe, H.(1997)。Multivariate Models and Dependence Concepts。London:Chapman and Hall。  new window
 
 
 
 
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