GFRC ??? ?????, ???? SSCI???(EFM) ?? ??
▲ (????) ??? ?????, ??? ??, Robert Webb ??
???? Global Finance Research Center(GFRC, ????? 32318B)? ??? ?????(???? ??? ??????)? 「State‐Dependent Hedging in Pairs Trading During Volatile Periods」 ??? 1??? ????, ??? ?????? ?? ????? European Financial Management Association(EFMA)? ???? ???? ?? SSCI??? European Financial Management(EFM)? ?????.
??? GFRC ???? GFRC? ??????? ????大 Robert I. Webb ??????? ????? ??? ?? ???, ?? ????(pairs trading)??? ??(hedge)??? ??? ??(volatility state)? ?? ??? ? ??? ?? ??? ?? ??(downside risk)? ????? ??? ??? ????? ????. ??? ????(pairs portfolio) ??? ??? ?? ???? neural additive model(NAM)? ???, ? ?? ???? ???? ?(過)??(over-hedge)? ????? ?? ??? ??????, ? ?? ?????? ??? ?????? ???? ???. ??, ?? ????? ???? ???? ??? ????? ?, ?? ??? ???? ??? ????.
??? ?????? ?? 1?? ?? 5% ???? ????, ???? SSCI? ???? ???? 5?? ??? ?????. ?? ???? ? ???? ???? ??? ?? ???. “?? ??? ??? ???? GFRC ????? ??????? ???? ???? ???? ??? ?????, GFRC Workshop? ?????? ?? ?????? ??? ? ???? ????? ??? ??? ???? ?? ? ?????. GFRC ?? ?????? ?? ???? ??? ?????, ??? ????? ??? ?? ???, ? ??? ???? ?? ??? ?? ??? ??? ?????. ?? ???? ???? ???? ???? ?????? ???? ?????? ??? ???? ?? ?? ?? ????? ???.”?? ??? ???.
??? ?? ??? ??? ??.
※ ???: State‐Dependent Hedging in Pairs Trading During Volatile Periods
※ ??: European Financial Management (European Financial Management Association)
※ ??: ?1 Kim, H.(???); ?? Ryu, D.(???); ?? Robert Webb
※ DOI:
??
