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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73925

    Title: 關聯函數與避險策略之探討
    Other Titles: An investigation of the hedging strategies and copula function
    Authors: 魏杏安;Wei, Hsing-An
    Contributors: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-Chih
    Keywords: 期貨避險;最小變異避險比率;copula函數;futures hedging;MVHR;copula function
    Date: 2011
    Issue Date: 2011-12-28 17:32:52 (UTC+8)
    Abstract: 期貨契約向來被視為規避現貨價格變動風險之良好工具,許多學者也陸續提出不同方法來評估現貨和期貨間的關聯性,希望能藉此來提升避險績效。近年來在財務領域上越來越多學者使用Sklar (1959) 所提出的Copula函數來評估變數間的關聯性,許多相關文獻指出根據Sklar定理可將聯合機率分配拆解成期貨和現貨的邊際分配及Copula函數兩個部分,使得在設定現貨和期貨報酬率的聯合分配上更有彈性。
    Futures contracts are seen to be a good tool to avoid the risk of changes in spot prices. Many hope to improve the hedging performance by proposing different methods to assess the interdependence between spot prices and futures contracts. In recent years, many literary works use the Copula function to capture the dependence between the two. Many related academic papers point out that joint distribution can be split into two parts: marginal distributions and the Copula function by Sklar theory. As such, the proposed models can specify the joint distribution of the spot price and futures contract returns with greater flexibility.
    Therefore, in order so we can choose between any Copula function and specify the joint distribution with marginal distributions, we infer and explain the relationship between them in this article. We also use three models to estimate the optimal hedge ratio including: OLS, GARCH-N and GARCH-t. The results show that we cannot specify the joint distribution by arbitrarily choosing the Copula function and marginal distributions. The empirical results show that in the out-of-example test, the hedging performance of the two GARCH models there is no difference and their performance altogether better than the OLS model.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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