KOSPI200 현 선물간 최적헤지비율의 추정과 헤지성과 = An empirical study on optimal hedge ratio estimation and hedging effectiveness in kospi200 spot and futures

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 308
  • Download : 0
Advisors
이회경researcherLee, Hoe-Kyung
Description
한국과학기술원 : 경영공학과,
Publisher
한국과학기술원
Issue Date
2012
Identifier
488858/325007  / 020103119
Language
kor
Description

학위논문(석사) - 한국과학기술원 : 경영공학과, 2012.2, [ v, 40 p. ]

Keywords

헤지성과; KOSPI200 선물; 일반화 자기회귀 조건부 이분산 모형; 조건부 분산; KOSPI200 futures; Hedge effectiveness; GARCH; Conditional variance; Rolling regression; 반복적 회귀분석

URI
http://hdl.handle.net/10203/182186
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=488858&flag=dissertation
Appears in Collection
MT-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0