KOSPI200 현 선물간 최적헤지비율의 추정과 헤지성과An empirical study on optimal hedge ratio estimation and hedging effectiveness in kospi200 spot and futures
- Advisors
- 이회경researcher; Lee, 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
- Appears in Collection
- MT-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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