| 石油期货套期保值时变套期比研究 |
| |
| 引用本文： | 冯春山,吴家春,蒋馥.石油期货套期保值时变套期比研究[J].上海理工大学学报,2004,26(4):328-332. |
| |
| 作者姓名： | 冯春山 吴家春 蒋馥 |
| |
| 作者单位： | 上海交通大学,管理学院,上海,200052 |
| |
| 摘 要： | 通过对石油价格的实证分析认为，石油价格波动具有时变性，并且现货价格和期货价格具有协整关系．考虑这两种特征，用带有GARCH误差项的向量误差修正模型求解时变套期保值比率．实证结果表明，该方法套期保值效果好于通常最优固定套期比的方法。
|
| 关 键 词： | 石油期货 套期保值 时变性 |
| 文章编号： | 1007-6735(2004)04-0328-05 |
| 修稿时间： | 2004年3月15日 |
Study on time-varying hedge ratios in oil market |
| |
| FENG Chun-shan,WU Jia-chun,JIANG Fu.Study on time-varying hedge ratios in oil market[J].Journal of University of Shanghai For Science and Technology,2004,26(4):328-332. |
| |
| Authors: | FENG Chun-shan WU Jia-chun JIANG Fu |
| |
| Abstract: | It is important to study how to minimum the oil price change risk by oil future.The change of oil price is considered as time-varying according to empirical tests and spot price and future price is considered of co-integration.On the light of this,the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure.Out-of-sample tests reveal that this model provides greater risk reduction than that of a constant hedge ratio. |
| |
| Keywords: | oil future hedging time-varying |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《上海理工大学学报》浏览原始摘要信息 |
| 点击此处可从《上海理工大学学报》下载免费的PDF全文 |
