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    Title: 避險比率估計引入長記憶效果- 以臺灣股票指數期貨為例
    Introducing long-memory effect into hedge ratio estimation: An example of TWSE stock index futures
    Authors: 李佩紜
    Contributors: 郭維裕
    李佩紜
    Keywords: 異質性自我相關已實現共變異數矩陣模型(HAR-RC)
    緩長記憶
    已實現變異數
    已實現共變異數
    避險比率
    Date: 2012
    Issue Date: 2013-07-11 16:14:37 (UTC+8)
    Abstract: 財務金融的投資分析、管理上,有關波動度的討論向來為重要的一環。若我們能精確地估計兩市場個別之波動度,以及跨市場波動度的關聯性,則可以用以有效地建構避險比率,以降低投資風險,使投資部位之獲利結果更為明確。本文旨在利用Corsi (2005)提出之異質性自我相關已實現共變異數矩陣模型(HAR-RC)概念,搭配日內高頻資料,檢測臺灣發行量加權股價指數報酬率波動度、股價指數期貨報酬率波動度,以及兩市場之間的共變異程度是否存在緩長記憶現象。且進一步以此模型估計變異、共變異數,用以計算避險比率。實證結果顯示:僅發行量加權股價指數報酬率波動度具長期記憶,股價指數期貨報酬率波動度則僅存在短期記憶。且在此設定下,HAR-RC模型未能有效估計此兩市場之共變異程度,因此無法求得良好績效的避險比率。
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    臺灣證券交易所網站。www.twse.com.tw
    台灣期貨交易所網站。www.taifex.com.tw
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351038
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100351038
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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