| dc.contributor | 財政系 | en_US |
| dc.creator (作者) | 蔡文禎 | zh_TW |
| dc.creator (作者) | Chen, Chao-Chun ; Tsay, Wen-Jen | en_US |
| dc.date (日期) | 2011.02 | en_US |
| dc.date.accessioned | 17-Apr-2014 16:25:48 (UTC+8) | - |
| dc.date.available | 17-Apr-2014 16:25:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Apr-2014 16:25:48 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/65468 | - |
| dc.description.abstract (摘要) | This study considers the hedging effectiveness of applying the N-state Markov regime-switching autoregressive moving-average (MRS-ARMA) model to the S&P-500 and FTSE-100 markets. The distinguishing feature of this study is to incorporate the observations of serially correlated stock returns into the hedging analysis. To resolve the problem of NT possible routes induced by the presence of MA parameters associated with the algorithm of Hamilton JD (1989) and a sample of size T, we propose an algorithm by combining the ideas of Hamilton JD (1989) and Gray SF (1996). We nd that the hedging performances of the three proposed MRS-MA(1) strategies herein are superior to their corresponding MRS counterparts considered in Alizadeh A and Nomikos N (2004) over the out-of-sample periods, even when we realistically track the transaction costs generated from rebalancing the hedged portfolios. | en_US |
| dc.format.extent | 294999 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Futures Markets, 31(2), 165-191 | en_US |
| dc.title (題名) | A Markov Regime-Switching ARMA Approach for Hedging Stock Indices. | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.20465 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.20465 | en_US |
