...交叉套期保值比率;DCC模型 [gap=1055]Key words:foreign exchange risk; cross-hedging; optimal cross-hedge ratio; DCC model ...
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...亦可表 示如下 ( ) 1 1 1 , t t t t t t E D H D R ε ε − − − ′ = = (10) Engle(2000)的动态条件相关模型(DCC model)则是允许R 可随时间变动 (time varying)如下 , t t t t H D R D = (11) 则 i r 与 j r 相关系数可表示如下 [ ] , , , , ...
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Therefore, from Table 11 we know that bank enjoys better hedging performance while using portfolio hedging MS-DCC-GARCH model but not others.
因此,从表11我们知道,银行享有更好的性能,同时利用组合套期保值对冲的MS -催化裂解- GARCH模型而不是其他人。
Out-of-sample returns and risks in other sections show that portfolio hedging MS-DCC-GARCH model used by bank has better performance.
外显示样品返回和在其他章节的风险投资组合对冲的MS -催化裂解- GARCH模型的银行具有更好的性能使用。
This article USES data from Shanghai a type stock market and originally measures the conditional expectation of correlation risk and idiosyncratic volatility by DCC-MV GARCH model.
本文采用上海A股市场的月收益率数据,率先使用DCC - MV GARCH模型,刻画了时变的个股间预期条件相关性和个股的预期条件特质波动率。
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