An empirical analysis of hedge ratio: the case of Nikkei 225 options.

Lam Suet-man.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.Includes bibliographical references (leaves 111-117).Abstracts in English and Chinese.ACKNOWOLEDGMENTS --- p.iiiLIST OF TABLES --- p.ivLIST OF ILLUSTRATIONS --- p.viCHAPTERChapter ONE --- INTRODUCTION --- p.1Chapter TWO --- REVIEW OF THE LITERATURE --- p.6Parametric ModelsNonparametric Estimation TechniquesChapter THREE --- METHODOLOGY --- p.21Parametric ModelsNonparametric ModelsChapter FOUR --- DATA DESCRIPTION --- p.33Chapter FIVE --- EMPIRICAL FINDINGS --- p.39Estimation ResultsEvaluation of Model PerformanceOut-of-sample Forecast EvaluationChapter SIX --- CONCLUSION --- p.58TABLES --- p.62ILLUSTRATIONS --- p.97APPENDIX --- p.107BIBOGRAPHY --- p.11