외환시장의 원달러선물시장을 이용한 헤지효과분석 및 성과

목차

[ 목 차 ]

Ⅰ. 서 론

Ⅱ. 외환 및 외환거래 기초
1. 외환의 개념 및 환율표시방법
2. 외환시장 이해
3. 우리 나라의 외환거래제도
4. 자본시장 개방

Ⅲ. 기초 통계량 분석
1. 분석 자료
2. 기초통계량분석

Ⅳ. 연구방법론
1. 최소분산헤지모형
2. 이변량 ECT-ARCH(1)모형

Ⅴ. 실증결과분석
1. 전통적 최소분산 회귀분석모형에 의한 헤지비율 추정
2. 이변량 ECT-ARCH(1)모형에 의한 헤지비율 추정
3. 헤지비율 추정결과 비교
4. 헤지효과성 분석 결과
4.1 내표본의 헤지성과
4.2 외표본의 헤지성과

Ⅵ. 결 론

참고문헌

본문내용

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키워드

외환시장의헤지효과분석및성과,   외환및외환거래기초,   우리나라의외환거래제도,   최소분산헤지모형,   전통적최소분산회귀분석모형,   헤지비율추정결과비교,   헤지효과성분석결과,   외표본의헤지성과