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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Wei-Fan Chen | en |
| dc.contributor.author | 陳唯帆 | zh_TW |
| dc.date.accessioned | 2021-06-17T00:00:19Z | - |
| dc.date.available | 2012-12-06 | |
| dc.date.copyright | 2012-12-06 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-16 | |
| dc.identifier.citation | Bera, A. K., P. Garcia, and J. S. Roh (1997), “Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches,” Working Paper.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65705 | - |
| dc.description.abstract | CBOE所推出之VIX指數不僅具有高度描述市場風險資訊的能力，亦隱含波動風險與跳躍風險溢酬，換言之，無論是針對平時因正常漲跌而產生之波動風險，或是在股市恐慌時所造成之崩盤風險，VIX指數均是一項良好的避險工具。本文嘗試選取美國、韓國以及台灣各自所發展出之波動度指數作為避險工具，分析其對於波動風險以及崩盤風險之避險效果，藉以提供投資人從事風險管理時參考之依據。實證結果顯示波動度指數有不錯的避險效果，並具有迴避崩盤風險之特性。 | zh_TW |
| dc.description.abstract | The Volatility Index (VIX) not only good at drawing the market risk information but also implies the volatility risk premium and jump risk premium. In the other words, volatility index is capable of hedging against either the volatility risk or market crash risk. We analyze the hedging effectiveness of VIX created by CBOE, KRX and TAIFEX and find that VIX is the best hedging tool against crash risk during the financial tsunami period. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T00:00:19Z (GMT). No. of bitstreams: 1 ntu-101-R97723026-1.pdf: 2079992 bytes, checksum: 2dea98cca17c209b3eef1b0c1b124e6d (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員審定書....................................................................................................... i
誌謝........................................................................................................................... ii 中文摘要................................................................................................................... iii 英文摘要…………………………………………………………………………... iv 第一章 緒論………………………………………………………………………... 1 第一節 研究背景與動機………………………………………………….... 1 第二節 研究目的…………………………………………………………… 5 第二章 文獻回顧………………………………………………………………….. 7 第一節 避險理論…………………………………………………………… 7 第二節 波動性指標………………………………………………………… 9 第三節 波動性擇時之經濟價值…………………………………………… 10 第四節 波動性模型………………………………………………………… 11 第三章 研究方法………………………………………………………………….. 13 第一節風險報酬抵換法則………………………………………………… 13 第二節波動性擇時之經濟價值分析法…………………………………… 14 第三節ARCH/GARCH模型……………………………………………… 16 第四節DCC模型………………………...………………………………... 17 第四章實證研究………………………………………………………………….. 20 第一節資料選取…………………………………………………………… 20 第二節敘述統計…………………………………………………………… 21 第三節實證分析…………………………………………………………… 29 第五章結論與建議……………………………………………………………….. 46 第一節結論與建議………………………………………………………… 46 第二節研究貢獻…………………………………………………………… 47 參考文獻………….…………………………………………………...………….. 48 | |
| dc.language.iso | zh-TW | |
| dc.title | VIX對崩盤風險之避險功能分析 | zh_TW |
| dc.title | Hedging against Crash Risk
-An Application of VIX Related Derivatives | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 周雨田 | |
| dc.contributor.oralexamcommittee | 廖咸興,王耀輝 | |
| dc.subject.keyword | VIX避險策略,崩盤風險,動態條件相關係數,經濟價值,風險報酬抵換法則, | zh_TW |
| dc.subject.keyword | VIX Portfolio Hedge,Crash Risk,DCC,Economic Value,Risk Return Tradeoff, | en |
| dc.relation.page | 49 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-17 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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