标题:Hedging Tactic of CSI300 Stock Index Futures Based on Non-Symmetric Fluctuation GARCH Model
作者:Jin, J[1]; Jin, ZL[2]
通讯作者地址:Jin, J (reprint author), East China Normal Univ, Inst Math & Stat, Shanghai, Peoples R China.
出版年:2017
卷:95
页码:88-91
会议时间:MAY 29-31, 2017
会议地点:Singapore, SINGAPORE
会议名称:International Conference on Education, Economics and Management Research; (ICEEMR)
关键词:Hedging; Stock Index Futures; EGARCH Model; Asymmetric Distribution;; Parameter Estimation
摘要:This study is based on the data and improves the theoretical model of GARCH, applying EGARCH model in the A-stock market. Meanwhile, an analysis on th 更多
收录类别:CPCI-SSH
语种:English
资源类型:外文会议论文
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