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研究生:周慶雲
研究生(外文):Ching-yun Chou
論文名稱:無母數模型與時間序列方法之避險實證分析
論文名稱(外文):Nonparametric model and times-series approach to hedging :a comparsion
指導教授:陳安行陳安行引用關係
指導教授(外文):An-Sing Chen
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:94
語文別:英文
論文頁數:29
中文關鍵詞:交易成本向量誤差修正模型風險趨避程度核迴歸
外文關鍵詞:vec-garchEpanechnikov kernel regressiontransaction costcoefficient of absolute risk aversion
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The paper focuses on the idea that by choosing the method between nonparametric model and time-series model to show us what inferences can we draw from them and which one can have better outcomes in the out-of-sample period. It is also the key factors of the research to account for the effects of coefficient of absolute risk aversion and transaction costs to the results. Without transaction costs, we find that Epanechnikov kernel regression way can outperform VEC-GARCH way. But if transaction costs are considered, it is surprising that antipodes happened. VEC-GARCH is better than Epanechnikov kernel regression (hereafter Epanechnikov kernel).Finally, empirical results show coefficient of absolute risk aversion have limited effects to them.
Abstract
Chapter One
1. Introduction………………………………………………………….1
Chapter Two
2.1 Hedging Commodity Price Risk Using Time Series Models………3
2.2 Hedging Commodity Price Risk Using Multivariate nonparametric Models…………………………………………………………………..9
Chapter Three
3.1 Data collection..............14
3.2 Parameter Estimation, and Parameter Inference……………………15
Chapter Four
4.1 Comparisons of hedging performance………………………………22
4.2 Conclusion…………………………………………………………..26
References………………………………………………………………27
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