淡江大學機構典藏:Item 987654321/74797
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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/74797


    Title: 應用Copula-GJR-GARCH模型於黃金與白銀期貨之避險
    Other Titles: Applying Copula-GJR-GARCH Model in the Hedging of Gold Futures and Silver Futures
    Authors: 李沃牆;李莠苓
    Contributors: 淡江大學財務金融學系
    Keywords: Copula函數;最小變異數避險理論;避險績效;Copula function;GJR-GARCH;Minimum variance hedge ratio;Performance of hedge
    Date: 2011-12
    Issue Date: 2012-01-10 12:28:52 (UTC+8)
    Publisher: 中華民國期貨商業同業公會
    Abstract: 金融資產報酬通常為厚尾且非常態,Copula 函數能夠依據個別資料之間的關聯性找出最適之聯合分配,使得模型的運用上更加具有彈性。本文以傳統OLS避險模型為指標、並考慮固定條件相關(CCC-GJR-GARCH)避險模型、動態條件相關(DCC-GJR-GARCH)避險模型以及以Copula-based GJR-GARCH 避險模型。實證上利用最小變異避險理論求出避險比例並衡量避險績效。比較不同避險模型的樣本內、外績效,發現以Copula 為基礎的GJR-GARCH 模型能夠提供較佳的避險。
    Relation: 臺灣期貨與衍生性商品學刊 12,頁28-65
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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