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請使用永久網址來引用或連結此文件: http://ir.ncue.edu.tw/ir/handle/987654321/17076

題名: Optimal Hedging on Spot Indexes with a Duration-Dependent Markov-Switching Model
作者: Huang, Shian-Chang;Pan, Tzu-Hui;Lo, Yin-Chih
貢獻者: 企業管理學系
關鍵詞: Duration-dependent Markov-switching model;MCMC;Financial hedge;Financial Econometrics
日期: 2010-09
上傳時間: 2013-07-11T09:04:44Z
出版者: EuroJournals Publishing, Inc.
摘要: This study introduces a duration-dependent Markov-switching vector autoregression (DDMSVAR) model to perform futures hedging on major spot indexes around the world. The transition probabilities of DDMSVAR models are time-varying depending the duration lasted on a state, which are good at modeling duration-dependent business cycles and market conditions. By Gibbs sampling from the Markov chain Monte Carlo method, the model parameters and state variables are accurately estimated. The portfolio implied by the optimal hedge ratio is constructed and compared with those of DCC-GARCH and BEKK-GARCH models. The empirical results indicate that the DDMSVAR model significantly outperforms DCC-GARCH and BEKK-GARCH models and achieves better risk reduction over 50% on average.
關聯: International Research Journal of Finance and Economics, 49: 161-171
顯示於類別:[企業管理學系] 期刊論文

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