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국채 현,선물의 ECM에 의한 헤지

A Study on the Hedge in KTB Spot and Futures by ECM

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주제분류경영학

참고문헌 (26)

  1. 김명직, "금융시계열분석" (1998), 서울: 경문사
  2. 유지성, "계량경제학원론" (1995), 서울: 박영사
  3. 이상빈, "한국증권시장에서 주가지수 선물을 이용한 헤지 가능성 분석" (1989)
  4. 정한규, "Error Correction Model에 의한 현선물간 헷징", 11(5), pp.117~133 (1998), 한국산업경제학회
  5. Bhar, "Return and Volatility Dynamics in The Spot and Futures Markets in Australia : An Intervention Analysis in a Bivariate Egarch-X Framework", 21(9), pp.833~850 (2001)
  6. "“Minimum-Variance Hedging with Futures Re visited ” Journal of Portfolio Management", casteli, pp.74~80 (1990)
  7. Cecchetti, "“Estimation of the Optimal Futures Hedges ” Review of Economics and Statistics", pp.623~630 (1988)
  8. Chen, "Volatility and Maturity Effects in The Nikkei Index Futures", 19(8), pp.895~909 (1999)
  9. Chou, "Hedging with the Nikkei Index Futures: The Conventional versus the Error Correction Model", 36, pp.495~505 (1996)
  10. "“The Hedging Performance of the New Futures Markets ” Journal of Finance", pp.157~170 (1979)
  11. Falkenstein, "Minimizing Basis Risk from Non-Parallel Shifts in the Yield Curve", 6(1), pp.60~68 (1996)
  12. "“Hedging Performance and Basis Risk in Stock Index Futures ” Journal of Finance", pp.657~669 (1984)
  13. and A, "A Test of Maturity and Volume Effects ” Journal of Business", pp.319~330 (1986)
  14. Ghosh, "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices", 13(2), pp.193~198 (1993)
  15. Ghosh, "Hedging with International Stock Index Futures: An Intertemporal Error Correction Model", 19(4), pp.477~492 (1996)
  16. Howard, "“Risk- Return Measure of Hedging Effectiveness ” Journal of Financial and Quantitative Analysis", pp.101~112 (1984)
  17. Kroner, "The University of Arizona" (1993)
  18. Lien, "Fractional Cointegration and Futures Hedging", 19, pp.457~474 (1999)
  19. Mackinnon, "“Critical Value for Cointegration Tests ” in R", long-run eco(mic relationships) (1991), Oxford University Press
  20. Maddala, "Unit Roots" (1998), Cambridge Univ. Press
  21. Myers, "“Estimating Time-Varying Optimal Hedge Ratios on Futures Markets ” Journal of Futures Markets", pp.39~54 (1991)
  22. Peters, "Components of Risk And Return ” Advances in Futures and Options Research", pp.75~91 (1986)
  23. Park, "Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures", 15, pp.61~67 (1995)
  24. Sarno, L, "The Cost of Carry Model and Regime Shifts in Stock Index Futures Markets: An Empirical Investigation", 20(7), pp.603~624 (2000)
  25. A Cointegration Approach, "“Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets ” Journal of Futures Markets", pp.711~742 (1993)
  26. Yeh, "Comparing Trading Performance of The Constant and Dynamic Hedge Models: A Note", 14, pp.155~160 (2000)

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