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Hedging Performance and the Optimal Hedge Strategy of Nikkei 225 Index and Nikkei 225 Index Futures
本文以日本股價指數為主要之研究對象,利用大阪日經225指數期貨與新加坡日經225指數期貨分別探討在空頭避險下應用常見計量模型之避險績效,並利用移動視窗 (moving window) 之方法分析在不同之模型中避險期間長短對於避險績效之影響,以得到最適之避險策略。實證結果發現,計量模型中以雙變量GARCH模型之避險績效較其他模型 (VAR和ECM) 優越,且不論是以大阪日經225指數期貨或是以新加坡日經225指數期貨作為避險工具,皆發現隨著避險期間的增長,避險績效也隨之增加,避險績效與避險期間呈正向關係。
沈育展; 洪瑞成; 邱建良; 李命志
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Toolkit Description: This NET-225 Nuclear Physics course is from the RCNET Comprehensive Teaching Toolkit: Fundamentals, and is drawn from curriculum taught in the Nuclear Systems Technology program at Midlands Technical College.
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Kunihiko Hiraishi, Hiroshi Ito
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Band 3, 225 (Sammlung Friedlaender)
BAND 3, 225 (SAMMLUNG FRIEDLAENDER) Band 3, 225 (Sammlung Friedlaender) (Public Domain ...
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Band 2, 225 (Sammlung Friedlaender)
BAND 2, 225 (SAMMLUNG FRIEDLAENDER) Band 2, 225 (Sammlung Friedlaender) (Public Domain ...
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Band 6, 225 (Sammlung Friedlaender)
BAND 6, 225 (SAMMLUNG FRIEDLAENDER) Band 6, 225 (Sammlung Friedlaender) (Public Domain ...
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Band 7, 225 (Sammlung Friedlaender)
BAND 7, 225 (SAMMLUNG FRIEDLAENDER) Band 7, 225 (Sammlung Friedlaender) (Public Domain ...
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Band 4, 225 (Sammlung Friedlaender)
BAND 4, 225 (SAMMLUNG FRIEDLAENDER) Band 4, 225 (Sammlung Friedlaender) (Public Domain ...
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Band 5, 225 (Sammlung Friedlaender)
BAND 5, 225 (SAMMLUNG FRIEDLAENDER) Band 5, 225 (Sammlung Friedlaender) (Public Domain ...
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