연기금의 미국채권투자 포트폴리오 헤지에 관한 연구 = A Study on the American Bond Portfolio Hedge of Pension Fund with T-Bond Futures by OLS, VECM and GARCH Model

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 선행연구
• Ⅲ. 데이터 및 헤지비율추정모형
• Ⅳ. 실증분석 결과
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

1 정진호, "한국 채권시장에서 국채선물을 이용한 적정헤지비율 추정에 관한 연구" 30 : 163-188, 2002

2 정진호, "국채선물을 이용한 헤지모형의 성과비교에 관한 연구" 15 (15): 173-204, 2002

3 Engle, R.,, "and Error Correction Representation, Estimation, and Testing" 55 : 251-276, 1987

4 Maddala, G. S, "Unit Roots, Cointegration, and Structural Change" Cambridge Univ. Press 1998

5 , Fuller,W, "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root" 49 : 1057-1072, 1981

6 Johansen,S, "Statistical Analysis of cointegration Vectors" 12 : 231-254, 1988

7 Granger,C, "Some Properties of Time Series Data and Their Use in Econo-metric Model Specification" 16 : 121-130, 1981

8 Lindahl,M, "Minimum Variance Hedge Ratios for Stock Index Futures:Duration and Expiration Effects" 12 : 33-54, 1992

9 Ghosh,A, "Hedging with Stock Index futures:Estimation and Forecasting with Error Correction Model" 13 : 743-752, 1993

10 Figlewski,S, "Hedging With Stock Index Futures:Theory and Applications in a New Market" 5 : 183-199, 1985

11 Peters,E, "Hedged Equity Portfolios:Components of Risk and Return" 1 : 75-91, 1986

12 정한규, "Error Correction Model에 의한 현선물간 헤징" 11 (11): 117-133, 1998