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Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches
conditional variance Hedging performance hedge ratios
2011/4/2
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...
Hedging Effectiveness under Conditions of Asymmetry
Hedging Performance Asymmetry Lower Partial Moments Value at Risk Conditional Value at Risk
2011/3/31
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crud...