Dynamic hedging with futures: A copula-based GARCH model

NCUIR > School of Management at National Central University > Graduate Institute of Economics > journal & Dissertation > Item 987654321/31285

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31285

Title:	Dynamic hedging with futures: A copula-based GARCH model
Authors:	Hsu,Chih-Chiang;Tseng,Chih-Ping;Wang,Yaw-Huei
Contributors:	經濟學研究所
Keywords:	STOCK INDEX FUTURES;GENERALIZED ARCH;MARKETS;PERFORMANCE;DEPENDENCE;RATIOS;RISK
Date:	2008
Issue Date:	2010-07-06 17:41:10 (UTC+8)
Publisher:	中央大學
Abstract:	In a number of earlier studies it has been demonstrated that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this study t
Relation:	JOURNAL OF FUTURES MARKETS????
Appears in Collections:	[Graduate Institute of Economics] journal & Dissertation

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