Return to search

Asymmetric effect of basis on hedging in Chinese metal market.

Su, Yiwen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 76-84). / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 2.1 --- Hedge Ratio Review --- p.9 / Chapter 2.2 --- Estimating the Hedge Ratio --- p.13 / Chapter 2.2.1 --- Static Hedge Ratio --- p.13 / Chapter 2.2.2 --- "Dynamic Hedge Ratio, Multivariate GARCH Frame-work and DCC Model" --- p.14 / Chapter 3 --- Futures Market Efficiency --- p.19 / Chapter 3.1 --- Market Efficiency and Cointegration Test --- p.20 / Chapter 4 --- Model Specifications and Hedging Strategy --- p.24 / Chapter 4.1 --- Model Specifications --- p.24 / Chapter 4.1.1 --- BGARCH-DCC Model --- p.25 / Chapter 4.1.2 --- Symmetric BGARCH-DCC Model --- p.28 / Chapter 4.1.3 --- Asymmetric BGARCH-DCC Model --- p.31 / Chapter 4.2 --- Hedge Ratio --- p.33 / Chapter 4.2.1 --- MV Hedge Ratio --- p.34 / Chapter 4.2.2 --- Zero-VaR Hedge Ratio --- p.35 / Chapter 4.3 --- Evaluation of Hedge Effectiveness --- p.38 / Chapter 5 --- Data Description and Empirical Results --- p.39 / Chapter 5.1 --- Preliminary Data Analysis --- p.39 / Chapter 5.2 --- Estimation Results --- p.42 / Chapter 5.3 --- Dynamic Hedging Performance --- p.53 / Chapter 6 --- Conclusion --- p.68 / Chapter A --- Equation Derivation --- p.72 / Bibliography --- p.76

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326798
Date January 2009
ContributorsSu, Yiwen., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, viii, 84 p. : ill. ; 30 cm.
CoverageChina
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

Page generated in 0.0023 seconds