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Effective methods for hedging downside risk during a global financial crisis: Evidence from asian stock index futures
Chih Yung Lin,
Po Hsin Ho
, Chang Kuo Hu
財務金融學系
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Keyphrases
Effective Method
100%
Hedging
100%
Global Financial Crisis
100%
Stock Index Futures
100%
Downside Risk
100%
Asian Stock Indices
100%
Crisis Period
75%
Stock Market Volatility
50%
HYGARCH
50%
Fat Tails
50%
GJR-GARCH Model
50%
Skewed Student-t
50%
Taiwan
25%
Volatility
25%
Parameter Estimation
25%
Hong Kong
25%
Nikkei 225
25%
Best Model
25%
Long Memory
25%
Futures Contracts
25%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
25%
Asymmetric Model
25%
Long Memory Models
25%
LR Test
25%
FIGARCH
25%
Singapore Index
25%
Economics, Econometrics and Finance
Financial Crisis
100%
Hedging
100%
Stock Index
100%
Index Futures
100%
Volatility
75%
ARCH Model
50%
Generalized Autoregressive Conditional Heteroskedasticity
25%