원문정보
보안공학연구지원센터(IJHIT)
International Journal of Hybrid Information Technology
Vol.9 No.5
2016.05
pp.31-46
피인용수 : 0건 (자료제공 : 네이버학술정보)
목차
Abstract
1. Introduction
2. Panel Garch Model
3. Markov Regime Switching Panel GARCH Model
3.1. Definition of Model
3.2. Estimating Log-Likelihood Function
4. Multiple-Futures Hedging Based On Minimizing Variance Method
4.1. Minimum Variance Hedge
4.2. Hedging Performance Comparison
5. Data and Empirical Analysis
5.1. Data and Empirical Results
6. Conclusion
References
1. Introduction
2. Panel Garch Model
3. Markov Regime Switching Panel GARCH Model
3.1. Definition of Model
3.2. Estimating Log-Likelihood Function
4. Multiple-Futures Hedging Based On Minimizing Variance Method
4.1. Minimum Variance Hedge
4.2. Hedging Performance Comparison
5. Data and Empirical Analysis
5.1. Data and Empirical Results
6. Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보