https://scholars.lib.ntu.edu.tw/handle/123456789/631088
標題: | Hedge ratio and time series analysis | 作者: | SHENG-SYAN CHEN Lee, Cheng Few Shresth, Keshab |
關鍵字: | ARCH method | Cara utility function | Co-integration and error assertion method effectiveness | Garch method | Hedge ratio | Maximum mean extended-gini coefficient hedge ratio | Minimum generalized semi-variance hedge ratio | Minimum value-at-risk hedge ratio multivariable spew-normal distribution method | Minimum variance hedge ratio | Optimum mean meg hedge ratio | Optimum mean variance hedge ratio | Random coefficient method | Regime-switching garch method | Sharpe hedge ratio | 公開日期: | 一月-2020 | 出版社: | World Scientific Publishing Co. | 起(迄)頁: | 431 - 483 | 來源出版物: | Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes) | 摘要: | This chapter discusses both static and dynamic hedge ratio in detail. In static analysis, we discuss minimum-variance hedge ratio, Sharpe hedge ratio, and optimum mean-variance hedge ratio. In addition, several time series analysis methods such as the multivariate skew-normal distribution method, the autoregressive conditional heteroskedasticity (ARCH) and generalized autoregressive conditional heteroskedasticity (GARCH) methods, the regime-switching GARCH model, and the random coefficient method are used to show how hedge ratio can be estimated. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/631088 | ISBN: | 9789811202391 9789811202384 |
DOI: | 10.1142/9789811202391_0011 |
顯示於: | 財務金融學系 |
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